Lillo Rodríguez, Rosa ElviraRomo, JuanLaniado Rodas, HenryUniversidad Carlos III de Madrid. Departamento de Estadística2010-06-242010-06-242010-06https://hdl.handle.net/10016/8970We propose a new multivariate order based on a concept that we will call extremality". Given a unit vector, the extremality allows to measure the "farness" of a point with respect to a data cloud or to a distribution in the vector direction. We establish the most relevant properties of this measure and provide the theoretical basis for its nonparametric estimation. We include two applications in Finance: a multivariate Value at Risk (VaR) with level sets constructed through extremality and a portfolio selection strategy based on the order induced by extremality.application/pdfengAtribución-NoComercial-SinDerivadas 3.0 EspañaExtremalityOriented coneValue at riskPortfolio selectionworking paperEstadísticaopen accessws101908