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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/14630
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| Title: | Portfolio selection through and extremality stochastic order |
| Author(s): | Laniado, Henry
Lillo, Rosa E.
Pellerey, Franco
Romo, Juan |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Estadística |
| Issued date: | Jun-2012 |
| URI: | http://hdl.handle.net/10016/14630 |
| Abstract: | In this paper we introduce a new multivariate stochastic order that compares random vectors in a direction which is determined by a unit vector, generalizing previous upper and lower orthant order. The main properties of this new order, together with its relationships with other multivariate stochastic orders, are investigated and, we present some examples of application in the determination of optimal allocations of wealth among risks in single period portfolio problems. |
| Serie / Nº.: | UC3M Working papers. Statistics and Econometrics
12-12 |
| Keywords: | Portfolio selection
Extremality
Upper orthant
60E15
62P05
91G10 |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
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