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

DOI10.1016/J.INSMATHECO.2016.03.006zbMATH Open1369.91090OpenAlexW2304113230MaRDI QIDQ320292FDOQ320292

Chen Li, Xiaohu 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

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zbMATH Keywords

usual stochastic orderarrangement increasingdefault risksincreasing concave orderlower orthant arrangement increasingrisk averse

Mathematics Subject Classification ID

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

Cites Work

• Stochastic orders
• Title not available (Why is that?)
• A note on allocation of portfolio shares of random assets with Archimedean copula
• Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks
• Some new notions of dependence with applications in optimal allocation problems
• Stochastic comparisons of weighted sums of arrangement increasing random variables
• Demand for risky financial assets: A portfolio analysis
• Ordering optimal proportions in the asset allocation problem with dependent default risks
• Asset Proportions in Optimal Portfolios
• PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
• The Use of Archimedean Copulas to Model Portfolio Allocations
• Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management
• Asset proportions in optimal portfolios with dependent default risks

Cited In (18)

• 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
• Increasing convex order of capital allocation with dependent assets under threshold model
• Preservation of weak SAI's under increasing transformations with applications
• 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.
• ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES
• 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
• 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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