Article ID Journal Published Year Pages File Type
1155338 Statistics & Probability Letters 2006 7 Pages PDF
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
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