On the financial application of multivariate stochastic orderings

The paper proposes a multivariate comparison among different financial markets, using risk/variability measures consistent with investors’ preferences. First of all, we recall a recent classification of multivariate stochastic orderings and properly define the selection problem among different financial markets. Then, we propose an empirical financial application, using multivariate stochastic orderings consistent with the non-satiable and risk averse investors’ preferences. For the empirical analysis we examine two different approaches; first, we assume that the return are normally distributed; second, we deal with the more generalassumption that the returns’ distribution follow a stable sub-Gaussian law.