Ordering optimal proportions in the asset allocation problem with dependent default risks
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Publication:2485530
DOI10.1016/J.INSMATHECO.2004.07.013zbMATH Open1117.91347OpenAlexW2047547814MaRDI QIDQ2485530FDOQ2485530
Authors: K. C. Cheung, Hailiang Yang 
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
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Cited In (21)
- Increasing convex order of capital allocation with dependent assets under threshold model
- Preservation of weak SAI's under increasing transformations with applications
- 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
- Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks
- On allocations to portfolios of assets with statistically dependent potential risk returns
- 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
- Preservation of weak stochastic arrangement increasing under fixed time left-censoring
- On the increasing convex order of generalized aggregation of dependent random variables
- Permutation monotone functions of random vectors with applications in financial and actuarial risk management
- On asset allocation for a threshold model with dependent returns
- Optimal capital allocation for individual risk model using a mean-variance principle
- On heterogeneity in the individual model with both dependent claim occurrences and severities
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