Stochastic ordering of bivariate elliptical distributions

It is shown that for elliptically distributed bivariate random vectors, the riskiness and dependence strength of random portfolios, in the sense of the univariate convex and bivariate concordance stochastic orders respectively, can be simply characterised in terms of the vector's [Sigma]-matrix.

MoreLess

Year of publication:	2006
Authors:	Landsman, Zinoviy ; Tsanakas, Andreas
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 5, p. 488-494
Publisher:	Elsevier
Keywords:	Elliptical distributions Convex order Concordance order Dependence Risk management

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005259345