Portfolio selection through an extremality stochastic order Articles uri icon

publication date

  • July 2012

start page

  • 1

end page

  • 9

issue

  • 1

volume

  • 51

international standard serial number (ISSN)

  • 0167-6687

electronic international standard serial number (EISSN)

  • 1873-5959

abstract

  • 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 multivariate stochastic orders, are investigated and, we present some examples of application in the determination of optimal allocations of wealth among risks in single period portfolio problems.