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Characterization of Some Stochastic Orderings in Multinormal and Elliptic Distributions

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DGOR

Part of the book series: Operations Research Proceedings ((ORP,volume 1983))

Summary

The paper presents complete characterizations of several useful stochastic orderings within multinormal and, more general, elliptic distributions. The orderings include multivariate first and second degree and weak first degree stochastic dominance. In addition, orderings with respect to quadratic, quasi-concave, and pairwise risk averse utilities are characterized.

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References

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Author information

Authors and Affiliations

  1. Hamburg, Germany

    Karl C. Mosler

Authors
  1. Karl C. Mosler
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Editor information

Editors and Affiliations

  1. Lehrstuhl für Betriebswirtschaftslehre, insbesondere Unternehmensforschung, Universität Regensburg, Universitätsstraße 31, D-8400, Regensburg, Germany

    Helmut Steckhan

  2. Lehrstuhl für Allgemeine Betriebswirtschaftslehre, insbesondere Bankbetriebslehre Im Stadtwald, Universität des Saarlandes, D-6600, Saarbrücken, Germany

    Wolfgang Bühler

  3. Schering AG, SDV, Müllerstraße 170-178, D-1000, Berlin 65, Germany

    Kurt E. Jäger

  4. Lehrstuhl für Betriebswirtschaftslehre und Unternehmensforschung, Universität Mannheim, Schloß, D-6800, Mannheim 1, Germany

    Christoph Schneeweiß

  5. Abteilung Statistik und Operations Research des Instituts für Wirtschaftswissenschaften, Technische Universität Braunschweig, Postfach 3329, D-3300, Braunschweig, Germany

    Jochen Schwarze

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© 1984 Springer-Verlag Berlin Heidelberg

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Mosler, K.C. (1984). Characterization of Some Stochastic Orderings in Multinormal and Elliptic Distributions. In: Steckhan, H., Bühler, W., Jäger, K.E., Schneeweiß, C., Schwarze, J. (eds) DGOR. Operations Research Proceedings, vol 1983. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-69546-9_111

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  • DOI: https://doi.org/10.1007/978-3-642-69546-9_111

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-13134-2

  • Online ISBN: 978-3-642-69546-9

  • eBook Packages: Springer Book Archive

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