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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