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 $\mathbf{\Sigma}$-matrix

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Year of publication:	2014
Authors:	Landsman, Zinoviy ; Tsanakas, Andreas
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Wahrscheinlichkeitsrechnung \| Probability theory \| Statistische Verteilung \| Statistical distribution

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Extent:	1 Online-Ressource (14 p)
Series:	The final version of this article appeared as: Landsman Z., A. Tsanakas (2006), ''Stochastic ordering of bivariate elliptical distributions'', Statistics and Probability Letters, 76, p.488-494
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.1005988 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014224987