Portfolio selection through and extremality stochastic order
AbstractIn 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.
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws121812.
Date of creation: Jun 2012
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Portfolio selection; Extremality; Upper orthant; 60E15; 62P05; 91G10;
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-01 (All new papers)
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