Portfolio selection through and extremality stochastic order
Henry Laniado Rodas,
Rosa Elvira Lillo Rodríguez and
Juan Romo Urroz
DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
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.
Keywords: Portfolio; selection; Extremality; Upper; orthant; 60E15; 62P05; 91G10 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws121812
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