Optimal portfolio problem with unknown dependency structure

DOI10.1016/j.insmatheco.2005.08.006zbMath1133.91410MaRDI QIDQ2507949

Ka Chun 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

stochastic order; comonotonicity; dependency structure; asset allocation

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

91G10: Portfolio theory

Related Items

Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks, Stochastic orders of scalar products with applications, Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors, Optimal allocation of policy limits and deductibles

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