On allocations to portfolios of assets with statistically dependent potential risk returns
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Recommendations
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Cites work
- scientific article; zbMATH DE number 3591262 (Why is no real title available?)
- A note on allocation of portfolio shares of random assets with Archimedean copula
- Asset Proportions in Optimal Portfolios
- Asset proportions in optimal portfolios with dependent default risks
- 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
- PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
- Permutation monotone functions of random vectors with applications in financial and actuarial risk management
- Some new notions of dependence with applications in optimal allocation problems
- Stochastic comparisons of weighted sums of arrangement increasing random variables
- Stochastic orders
- The Use of Archimedean Copulas to Model Portfolio Allocations
Cited in
(21)- On heterogeneity in the individual model with both dependent claim occurrences and severities
- Ordering optimal proportions in the asset allocation problem with dependent default risks
- A count-based nonparametric test on strict bivariate Stochastic arrangement increasing property
- Risky allocations from a risk-neutral informed principal
- STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS
- Preservation of weak SAI's under increasing transformations with applications
- Increasing convex order of capital allocation with dependent assets under threshold model
- Ordering optimal deductible allocations for stochastic arrangement increasing risks
- 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
- Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood
- Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals.
- AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS
- Asset proportions in optimal portfolios with dependent default risks
- Stochastic arrangement increasing property of skew-normal distributions
- Preservation of weak stochastic arrangement increasing under fixed time left-censoring
- Optimal impact portfolios with general dependence and marginals
- On asset allocation for a threshold model with dependent returns
- On capital allocation for stochastic arrangement increasing actuarial risks
- Estimating probabilities relevant to calculating relative risk-corrected returns of alternative portfolios
- Capital allocation to alternatives with a multivariate ladder gamma return distribution
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