| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076748 | Insurance: Mathematics and Economics | 2012 | 9 Pages |
Abstract
⺠We introduce a multivariate stochastic order (extremality order) that compare random vectors in a direction given by a unit vector. ⺠The new stochastic order generalizes the well-known upper and the lower orthant orders. ⺠Portfolio comparisons with extremality order are provided. ⺠Optimal portfolio selection through rotations are given.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Henry Laniado, Rosa E. Lillo, Franco Pellerey, Juan Romo,