Stochastic comparison of random vectors with a common copula

Mathematics of Operations Research

Volumn 26, Issue 4, 2001, Pages 723-740

  Müller, Alfred ^a   Scarsini, Marco ^b  

^a UNIVERSITY OF KARLSRUHE   (Germany)

^b UNIVERSITY OF CHIETI   (Italy)

Author keywords

Conditionally increasing random vectors; Convex ordering; Copula; Directionally convex order; Local mean preserving spread; Portfolio optimization

Indexed keywords

BOUNDARY CONDITIONS; COMBINATORIAL MATHEMATICS; INVESTMENTS; OPTIMIZATION; RANDOM PROCESSES; RISK ASSESSMENT; THEOREM PROVING;

COMMON COPULA; CONVEX ORDERING; DIRECTIONAL CONVEX ORDER; LOCAL MEAN PRESERVING SPREAD; PORTFOLIO OPTIMIZATION; RANDOM VECTORS;

VECTORS;

EID: 0035518657     PISSN: 0364765X     EISSN: None     Source Type: Journal    
DOI: 10.1287/moor.26.4.723.10006     Document Type: Article

References (47)

1. Inequalities for stochastic models via supermodular orderings
2. Modeling and comparing dependencies in multivariate risk portfolios
3. A monotonicity result for the work-load in Markov-modulated queues
4. Some asymptotic theory for the bootstrap
5. A concept of negative dependence using stochastic ordering
6. Caractérisation complète des lois extrêmes multivariées et de la convergence des types extrêmes
7. On risk aversion with two risks
8. Sur le tableaux de corrélation dont les marges sont données
9. Generalized convex inequalities
10. Classes of orderings of measures and related correlation inequalities
11. Uniform representation of bivariate distributions
12. The Lorenz zonoid of a multivariate distribution
13. Lift zonoids, random convex hulls and the variability of random vectors
14. Some concepts of dependence
15. Linkages: A tool for the construction of multivariate distributions with given nonoverlapping multivariate marginals
16. Increasing risk: Some direct constructions
17. A multivariate exponential distribution
18. A generalized bivariate exponential distribution
19. Regularity of stochastic processes: A theory of directional convexity
20. Stochastic convexity on general space
21. Characterization of a Marshall-Olkin type class of distributions
22. Multivariate decisions with unknown price vector
23. Stochastic orders generated by integrals: A unified study
24. Stop-loss order for portfolios of dependent risks
25. Comparing risks with unbounded distributions
26. Some remarks on the supermodular order
27. Remarks on a multivariate transformation
28. Increasing risk, I: A definition
29. Antithetic variates, multivariate dependence and simulation of complex systems
30. Characterization of dependence concepts in normal distributions
31. On regression representations of stochastic processes
32. Multivariate stochastic dominance with fixed dependence structure
33. Multivariate convex orderings, dependence, and stochastic equality
34. Some conditions for stochastic equality
35. Product topologies on the space of distribution functions
36. Parametric stochastic convexity and concavity of stochastic processes
37. Supermodular stochastic orders and positive dependence of random vectors
38. Positive dependence properties of conditionally independent random lifetimes
39. Fonctions de répartition à n dimensions et leurs marges