Stochastic ordering of bivariate elliptical distributions

Zinoviy Landsman and Andreas Tsanakas

Statistics & Probability Letters, 2006, vol. 76, issue 5, 488-494

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 [Sigma]-matrix.

Keywords: Elliptical; distributions; Convex; order; Concordance; order; Dependence; Risk; management (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (10)

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