Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155338 | Statistics & Probability Letters | 2006 | 7 Pages |
Abstract
It is shown that for elliptically distributed bivariate random vectors, the riskiness and dependence strength of random portfolios, in the sense of the univariate convex and bivariate concordance stochastic orders respectively, can be simply characterised in terms of the vector's ΣΣ-matrix.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Zinoviy Landsman, Andreas Tsanakas,