Search Results - subject:"stochastic bounds"

Stochastic bounds for order flow times in parts-to-picker warehouses with remotely located order-picking workstations

Claeys, Dieter; Adan, Ivo; Boxma, Onno - In: European journal of operational research : EJOR 254 (2016) 3, pp. 895-906

Persistent link: https://www.econbiz.de/10011521881

Comonotonicity, orthant convex order and sums of random variables

Mesfioui, Mhamed; Denuit, Michel M. - In: Statistics & Probability Letters 96 (2015) C, pp. 356-364

This paper extends a useful property of the increasing convex order to the multivariate orthant convex order. Specifically, it is shown that vectors of sums of comonotonic random variables dominate in the orthant convex order vectors of sums of random variables that are smaller in the increasing...

Persistent link: https://www.econbiz.de/10011115935

Set-Portfolio Selection with the Use of Market Stochastic Bounds

Lozza, Sergio Ortobelli; Angelelli, Enrico; Toninelli, … - In: Emerging Markets Finance and Trade 47 (2011) 11, pp. 5-24

behavior of the returns and their association with the market stochastic bounds. Furthermore, we examine the performance and … wealth obtained with the optimization of several reward-risk performance functionals that use the stochastic bounds of the …

Persistent link: https://www.econbiz.de/10010612820

Set-portfolio selection with the use of market stochastic bounds

Lozza, Sergio Ortobelli; Angelelli, Enrico; Toninelli, … - In: Emerging markets finance & trade : a journal of the … 47 (2011), pp. 5-24

Persistent link: https://www.econbiz.de/10009533022