Variance Covariance Orders and Median PreservingSpreads

A random variable dominates another random variable with respectto the covariance order if the covariance of any two monotone increasingfunctions of this variable is smaller. We characterize completely thecovariance order, give strong sufficient conditions for it, present a numberof examples in concrete economic applications, and provide naturalextensions for the multivariate context.[...]

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Year of publication:	2009-03-24
Authors:	Malamud, Semyon ; Trojani, Fabio
Institutions:	Swiss National Centre of Competence in Research North South <Bern>
Subject:	Kovarianz <Stochastik> \| covariance structure \| Varianz \| variance principle \| Medianwert \| Median

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Extent:	334848 bytes 27 p. application/pdf
Series:	FINRISK Working Paper Series Working Paper No. 525 (2009)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C02 - Mathematical Methods ; D00 - Microeconomics. General ; G11 - Portfolio Choice ; Subject matter and research method of business administration ; Financial theory ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005868773