Ordering optimal proportions in the asset allocation problem with dependent default risks

DOI10.1016/j.insmatheco.2004.07.013zbMath1117.91347OpenAlexW2047547814MaRDI QIDQ2485530

Hailiang Yang, Ka Chun Cheung

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.07.013

zbMATH Keywords

stochastic ordercomonotonicitydependency structure

Mathematics Subject Classification ID

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

Related Items (20)

Arrangement increasing resource allocation ⋮ On allocations to portfolios of assets with statistically dependent potential risk returns ⋮ ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES ⋮ Joint stochastic orders of high degrees and their applications in portfolio selections ⋮ Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns ⋮ Preservation of weak stochastic arrangement increasing under fixed time left-censoring ⋮ Optimal capital allocation for individual risk model using a mean-variance principle ⋮ A note on allocation of portfolio shares of random assets with Archimedean copula ⋮ Functional characterizations of bivariate weak SAI with an application ⋮ Preservation of weak SAI's under increasing transformations with applications ⋮ Asset proportions in optimal portfolios with dependent default risks ⋮ Increasing convex order on generalized aggregation of SAI random variables with applications ⋮ Optimal portfolio problem with unknown dependency structure ⋮ Ordering scalar products with applications in financial engineering and actuarial science ⋮ Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks ⋮ Some new notions of dependence with applications in optimal allocation problems ⋮ On asset allocation for a threshold model with dependent returns ⋮ Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management ⋮ On the increasing convex order of generalized aggregation of dependent random variables ⋮ Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks

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