Orderings and risk probability functionals in portfolio theory

MaRDI QIDQ3615201zbMATH OpenFDO

Authors Sergio Ortobelli, Haim Shalit, Frank J. Fabozzi, Svetlozar T. Rachev

Publication date 17 March 2009

Full work available at URL http://www.math.uni.wroc.pl/~pms/files/28.2/Abstract/28.2.3.abs.pdf

zbMATH Keywords

coherent and convex measuresFORS orderingsMellin transformprobability metricsstochastic dominance

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Utility theory (91B16)

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Cited in

(20)

• Construction of probability metrics on classes of investors
• Stochastic orders to approach investments in condor financial derivatives
• The family of alpha,[a,b] stochastic orders: risk vs. expected value
• Demand for risky assets and the monotone probability ratio order
• Asymptotic multivariate dominance: a financial application
• Joint stochastic orders of high degrees and their applications in portfolio selections
• Portfolio selection through an extremality stochastic order
• Stochastic orders and risk measures: consistency and bounds
• Ordering scalar products with applications in financial engineering and actuarial science
• Portfolio selection problems consistent with given preference orderings
• On the fractional probabilistic Taylor's and mean value theorems
• Orderings and Probability Functionals Consistent with Preferences
• DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
• Optimal Ordering Strategy Under Risk and its Nonparametric Estimation
• General convex order on risk aggregation
• Failure rate properties of parallel systems
• Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria
• Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks
• Asymptotic stochastic dominance rules for sums of i.i.d. random variables
• On a preference relation between random variables related to an investment problem

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