Joint stochastic orders of high degrees and their applications in portfolio selections
From MaRDI portal
Publication:2404550
DOI10.1016/j.insmatheco.2017.07.008zbMath1395.60027OpenAlexW2742786654MaRDI QIDQ2404550
Publication date: 19 September 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.07.008
functional characterizationhigh degree stochastic orderjoint (reversed) hazard rate orderjoint increasing convex/concave orderoptimal portfolio selections
Related Items
A count-based nonparametric test on strict bivariate Stochastic arrangement increasing property, Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns, Preservation of weak SAI's under increasing transformations with applications, Single machine scheduling with stochastically dependent times
Cites Work
- Unnamed Item
- Unnamed Item
- On allocations to portfolios of assets with statistically dependent potential risk returns
- Some new notions of dependence with applications in optimal allocation problems
- Stochastic orders
- Stochastic comparisons of weighted sums of arrangement increasing random variables
- Stochastic orders of scalar products with applications
- Asset proportions in optimal portfolios with dependent default risks
- Mixed risk aversion
- Demand for risky financial assets: A portfolio analysis
- Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks
- Ordering optimal proportions in the asset allocation problem with dependent default risks
- Ordering scalar products with applications in financial engineering and actuarial science
- Preservation of Stochastic Orderings under Random Mapping by Point Processes
- Asset Proportions in Optimal Portfolios
- Bivariate characterization of some stochastic order relations
- Extension of the bivariate characterization for stochastic orders
- Stochastic Dominance Tests for Decreasing Absolute Risk Aversion. I. Discrete Random Variables
- PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
- The Use of Archimedean Copulas to Model Portfolio Allocations
- Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management
- Risk Aversion in the Small and in the Large