This paper proposes multivariate stochastic orderings of risk/reward positions consistent/isotonic to investors ’ preferences. We recall a recent classification of risk measures and orderings inspired by the theory of probability metrics. Then, using the techniques of probability metrics theory we present further extensions and representations of orderings and probability functionals which are consistent with classic and dual orderings. Finally, we discuss these concepts in a dynamic context describing possible financial applications
International audienceA class of stochastic orders is defined on the set of bivariate distribution f...
International audienceThis article presents various notions of risk generated by the intuitively app...
International audienceWe provide new characterizations of the preference for additive and multiplica...
The paper proposes a multivariate comparison among different financial markets, using risk/variabili...
This paper theoretically and empirically investigates the connection between portfolio theory and or...
This paper theoretically and empirically investigates the connection between portfolio theory and or...
In this paper we introduce a new multivariate stochastic order that compares random vectors in a dir...
In this paper we introduce a new multivariate stochastic order that compares random vectors in a dir...
A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models wit...
In this paper, we deal and evaluate the comparison problem among different financial markets using r...
In this paper, we examine three portfolio-type problems where investors rank their choices consideri...
We study the theory of stochastic order under the nonlinear expectations framework, including g- and...
International audienceA class of stochastic orders is defined on the set of bivariate distribution f...
New classes of order relations for discrete bivariate random vectors are introduced that essentially...
We provide new characterizations of the preference for additive and multiplicative risk apportionmen...
International audienceA class of stochastic orders is defined on the set of bivariate distribution f...
International audienceThis article presents various notions of risk generated by the intuitively app...
International audienceWe provide new characterizations of the preference for additive and multiplica...
The paper proposes a multivariate comparison among different financial markets, using risk/variabili...
This paper theoretically and empirically investigates the connection between portfolio theory and or...
This paper theoretically and empirically investigates the connection between portfolio theory and or...
In this paper we introduce a new multivariate stochastic order that compares random vectors in a dir...
In this paper we introduce a new multivariate stochastic order that compares random vectors in a dir...
A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models wit...
In this paper, we deal and evaluate the comparison problem among different financial markets using r...
In this paper, we examine three portfolio-type problems where investors rank their choices consideri...
We study the theory of stochastic order under the nonlinear expectations framework, including g- and...
International audienceA class of stochastic orders is defined on the set of bivariate distribution f...
New classes of order relations for discrete bivariate random vectors are introduced that essentially...
We provide new characterizations of the preference for additive and multiplicative risk apportionmen...
International audienceA class of stochastic orders is defined on the set of bivariate distribution f...
International audienceThis article presents various notions of risk generated by the intuitively app...
International audienceWe provide new characterizations of the preference for additive and multiplica...