Search Results - subject:"Extremality"

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Portfolio selection through and extremality stochastic order

Laniado, Henry; Lillo, Rosa E.; Pellerey, Franco; Romo, Juan - Departamento de Estadistica, Universidad Carlos III de … - 2012

In this paper we introduce a new multivariate stochastic order that compares random vectors in a direction which is determined by a unit vector, generalizing previous upper and lower orthant order. The main properties of this new order, together with its relationships with other multivariate...

Persistent link: https://www.econbiz.de/10010553488

Multivariate extremality measure

Laniado, Henry; Lillo, Rosa E.; Romo, Juan - Departamento de Estadistica, Universidad Carlos III de … - 2010

We propose a new multivariate order based on a concept that we will call extremality". Given a unit vector, the … extremality allows to measure the "farness" of a point with respect to a data cloud or to a distribution in the vector direction … extremality and a portfolio selection strategy based on the order induced by extremality. …

Persistent link: https://www.econbiz.de/10008462921

Proper and adjoint exhausters in nonsmooth analysis: optimality conditions

Abbasov, M.; Demyanov, V. - In: Journal of Global Optimization 56 (2013) 2, pp. 569-585

extremality conditions, and it turns out that conditions for a minimum are expressed via an upper exhauster while conditions for a … expressing extremality conditions in terms of adjoint exhausters remained open. Demyanov and Roshchina (Appl Comput Math 4 …. In Abbasov (<CitationRef CitationID="CR1">2011</CitationRef>) new extremality conditions in terms of adjoint exhausters …

Persistent link: https://www.econbiz.de/10010994133

A note on the family of extremality stochastic orders

López-Díaz, María Concepción; López-Díaz, Miguel - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 230-236

The family of extremality stochastic orders was introduced in Laniado et al. (2012) (Portfolio selection through an … extremality stochastic order. Insurance: Mathematics and Economics 51, 1–9), as an extension of the upper and lower orthant orders … problems. In this paper we analyze some properties of such a family of stochastic orders, namely we prove that any extremality …

Persistent link: https://www.econbiz.de/10011046574

Portfolio selection through an extremality stochastic order

Laniado, Henry; Lillo, Rosa E.; Pellerey, Franco; Romo, Juan - In: Insurance: Mathematics and Economics 51 (2012) 1, pp. 1-9

In this paper, we introduce a new multivariate stochastic order that compares random vectors in a direction which is determined by a unit vector, generalizing the previous upper and lower orthant orders. The main properties of this new order, together with its relationships with other...

Persistent link: https://www.econbiz.de/10010572718