On allocations to portfolios of assets with statistically dependent potential risk returns

DOI10.1016/J.INSMATHECO.2016.03.006MaRDI QIDQ320292zbMATH OpenOpenAlexFDO

Authors Xiaohu Li, Chen Li

Publication date 6 October 2016

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2016.03.006

zbMATH Keywords

usual stochastic orderarrangement increasingdefault risksincreasing concave orderlower orthant arrangement increasingrisk averse

Mathematics Subject Classification ID

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

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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

(20)

• 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
• 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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