Portfolio selection through an extremality stochastic order

DOI10.1016/J.INSMATHECO.2012.02.010MaRDI QIDQ2444701zbMATH OpenOpenAlexFDO

Authors Henry Laniado, Franco Pellerey, Rosa E. Lillo, Juan Romo

Publication date 10 April 2014

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/14630

zbMATH Keywords

extremalityportfolio selectionupper orthant

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

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Cited in

(12)

• Arrangement increasing resource allocation
• Stochastic orders to approach investments in condor financial derivatives
• Joint stochastic orders of high degrees and their applications in portfolio selections
• A note on the family of extremality stochastic orders
• A note on the portfolio selection problem
• Orderings and risk probability functionals in portfolio theory
• On the estimation of extreme directional multivariate quantiles
• Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks
• On stochastic orders defined by other stochastic orders and transformations of probabilities
• On a preference relation between random variables related to an investment problem
• Directional multivariate extremes in environmental phenomena
• A directional multivariate value at risk

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