Ordering optimal proportions in the asset allocation problem with dependent default risks
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Recommendations
- Asset proportions in optimal portfolios with dependent default risks
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- Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks
Cites work
- scientific article; zbMATH DE number 4032883 (Why is no real title available?)
- scientific article; zbMATH DE number 1200330 (Why is no real title available?)
- scientific article; zbMATH DE number 605729 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
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- On dependence of risks and stop-loss premiums
- PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
- Portfolio Theory for Independent Assets
- Symmetry and order in the portfolio allocation problem
- The Use of Archimedean Copulas to Model Portfolio Allocations
- The concept of comonotonicity in actuarial science and finance: applications.
- The concept of comonotonicity in actuarial science and finance: theory.
- The generalized harmonic mean and a portfolio problem with dependent assets
- The multivariate normal distribution
- The safest dependence structure among risks.
Cited in
(21)- On heterogeneity in the individual model with both dependent claim occurrences and severities
- Preservation of weak SAI's under increasing transformations with applications
- Increasing convex order of capital allocation with dependent assets under threshold model
- Optimal portfolio problem with unknown dependency structure
- Ordering scalar products with applications in financial engineering and actuarial science
- Arrangement increasing resource allocation
- 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
- Some new notions of dependence with applications in optimal allocation problems
- On allocations to portfolios of assets with statistically dependent potential risk returns
- 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
- A note on allocation of portfolio shares of random assets with Archimedean copula
- Asset proportions in optimal portfolios with dependent default risks
- Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks
- Functional characterizations of bivariate weak SAI with an application
- On the increasing convex order of generalized aggregation of dependent random variables
- Preservation of weak stochastic arrangement increasing under fixed time left-censoring
- On asset allocation for a threshold model with dependent returns
- Permutation monotone functions of random vectors with applications in financial and actuarial risk management
- Optimal capital allocation for individual risk model using a mean-variance principle
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