Archimedean copulae and positive dependence
Journal of Multivariate Analysis
Dependence, Dispersiveness, And Multivariate Hazard Rate Ordering
Probability in the Engineering and Informational Sciences
Regression Dependence In Latent Variable Models
Probability in the Engineering and Informational Sciences
A Generalization of the Inventory Pooling Effect to Nonnormal Dependent Demand
Manufacturing & Service Operations Management
Monotonicity in Markov Reward and Decision Chains: Theory and Applications
Foundations and Trends® in Stochastic Systems
Hessian orders and multinormal distributions
Journal of Multivariate Analysis
Stochastic ordering of a class of symmetric distributions
Probability in the Engineering and Informational Sciences
Some new results on multivariate dispersive ordering of generalized order statistics
Journal of Multivariate Analysis
Probability in the Engineering and Informational Sciences
Stochastic comparisons for rooted butterfly networks and tree networks, with random environments
Information Sciences: an International Journal
Journal of Multivariate Analysis
On the interplay between variability and negative dependence for bivariate distributions
Operations Research Letters
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We consider two random vectorsX andY, such that the components of脗 脗 X are dominated in the convex order by the corresponding components of脗 脗 Y. We want to find conditions under which this implies that any positive linear combination of the components of脗 脗 X is dominated in the convex order by the same positive linear combination of the components of脗 脗 Y. This problem has a motivation in the comparison of portfolios in terms of risk. The conditions for the above dominance will concern the dependence structure of the two random vectorsX andY, namely, the two random vectors will have a common copula and will be conditionally increasing. This new concept of dependence is strictly related to the idea of conditionally increasing in sequence, but, in addition, it is invariant under permutation. We will actually prove that, under the above conditions,X will be dominated byY in the directionally convex order, which yields as a corollary the dominance for positive linear combinations. This result will be applied to a portfolio optimization problem.