Portfolio selection through an extremality stochastic order
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Publication:2444701
DOI10.1016/j.insmatheco.2012.02.010zbMath1284.91522OpenAlexW2167356901MaRDI QIDQ2444701
Henry Laniado, Franco Pellerey, Rosa Elvira Lillo, Juan J. Romo
Publication date: 10 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/14630
Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Related Items (5)
On stochastic orders defined by other stochastic orders and transformations of probabilities ⋮ Arrangement increasing resource allocation ⋮ On the estimation of extreme directional multivariate quantiles ⋮ A directional multivariate value at risk ⋮ A note on the family of extremality stochastic orders
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