Optimal portfolio problem with unknown dependency structure

DOI10.1016/J.INSMATHECO.2005.08.006MaRDI QIDQ2507949zbMATH OpenOpenAlexFDO

Authors K. C. Cheung

Publication date 5 October 2006

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.08.006

zbMATH Keywords

asset allocationdependency structurecomonotonicitystochastic order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

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• Ordering optimal proportions in the asset allocation problem with dependent default risks
• PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
• Stop-loss order for portfolios of dependent risks
• Symmetry and order in the portfolio allocation problem
• The Use of Archimedean Copulas to Model Portfolio Allocations
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• The concept of comonotonicity in actuarial science and finance: theory.
• The hurdle-race problem.
• Upper and lower bounds for sums of random variables

Cited in

(14)

• Ordering properties of generalized aggregation with applications
• Ordering scalar products with applications in financial engineering and actuarial science
• Arrangement increasing resource allocation
• Stochastic orders of scalar products with applications
• Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks
• Increasing convex order on generalized aggregation of SAI random variables with applications
• Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors
• A note on allocation of portfolio shares of random assets with Archimedean copula
• Optimal allocation of policy limits and deductibles
• Functional characterizations of bivariate weak SAI with an application
• On the increasing convex order of generalized aggregation of dependent random variables
• Comparisons on aggregate risks from two sets of heterogeneous portfolios
• Nonlinear optimization problem of interdependent investment projects portfolio
• Permutation monotone functions of random vectors with applications in financial and actuarial risk management

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