Ordering Gini indexes of multivariate elliptical risks

Author:

Samanthi Ranadeera Gamage Madhuka,Wei Wei,Brazauskas Vytaras

Funder

University of Wisconsin-Milwaukee

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference27 articles.

1. Some inequalities for symmetric convex sets with applications;Anderson;Ann. Statist.,1996

2. Conditionally ordered distributions;Block;J. Multivariate Anal.,1988

3. Nested L-statistics and their use in comparing the riskiness of portfolios;Brazauskas;Scand. Actuar. J.,2007

4. A new ordering for stochastic majorization: Theory and applications;Chang;Adv. Appl. Probab.,1992

5. Das Gupta, S., Eaton, M.L., Olkin, I., Perlman, M.D., Savage, L.J., Sobel, M., 1972. Inequalities on the probability content of convex regions for elliptically contoured distributions. In: Sixth Berkeley Symposium on Probability and Statistics, II, pp. 241–265.

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