Portfolio selection through and extremality stochastic order
In 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.
|Date of creation:||Jun 2012|
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- Marco Scarsini & Yosef Rinott, 2006.
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