Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks

DOI10.1239/JAP/1208358951zbMATH Open1137.62071OpenAlexW2053918556MaRDI QIDQ5459908FDOQ5459908

K. C. Cheung, Hailiang Yang

Publication date: 30 April 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1208358951

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zbMATH Keywords

weak convergenceasset allocationlikelihood ratio ordercomonotonicitystochastic orderdependence structure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Utility theory (91B16)

Cites Work

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• Stochastic finance. An introduction in discrete time
• The concept of comonotonicity in actuarial science and finance: theory.
• Optimal allocation of policy limits and deductibles
• Ordering optimal proportions in the asset allocation problem with dependent default risks
• PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
• The Use of Archimedean Copulas to Model Portfolio Allocations
• Optimal portfolio problem with unknown dependency structure
• Symmetry and order in the portfolio allocation problem
• Existence of measurable modifications of stochastic processes

Cited In (7)

• Ordering optimal proportions in the asset allocation problem with dependent default risks
• Arrangement increasing resource allocation
• An algebraic theory of portfolio allocation
• On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component
• Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors
• Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks
• Symmetry and order in the portfolio allocation problem

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