Stochastic Comparison of Random Vectors with a Common Copula
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Publication:5704052
DOI10.1287/moor.26.4.723.10006zbMath1082.60504MaRDI QIDQ5704052
Publication date: 11 November 2005
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/4f6d381537c947b4c7a069930c691096e2bfb2d9
portfolio optimization; convex ordering; Directionally convex order; conditionally increasing random vectors; local mean preserving spread
60E15: Inequalities; stochastic orderings
62H20: Measures of association (correlation, canonical correlation, etc.)
60E05: Probability distributions: general theory
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