Multivariate extremality measure

Henry Laniado Rodas

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: We propose a new multivariate order based on a concept that we will call extremality". Given a unit vector, the extremality allows to measure the "farness" of a point with respect to a data cloud or to a distribution in the vector direction. We establish the most relevant properties of this measure and provide the theoretical basis for its nonparametric estimation. We include two applications in Finance: a multivariate Value at Risk (VaR) with level sets constructed through extremality and a portfolio selection strategy based on the order induced by extremality.

Keywords: Extremality; Oriented; cone; Value; at; risk; Portfolio; selection (search for similar items in EconPapers)
Date: 2010-06
New Economics Papers: this item is included in nep-ecm, nep-mic and nep-rmg
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws101908

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