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

DOI10.1239/JAP/1208358951MaRDI QIDQ5459908zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cites work

• scientific article; zbMATH DE number 520220 (Why is no real title available?)
• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Existence of measurable modifications of stochastic processes
• Optimal allocation of policy limits and deductibles
• Optimal portfolio problem with unknown dependency structure
• Ordering optimal proportions in the asset allocation problem with dependent default risks
• PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
• Stochastic finance. An introduction in discrete time
• Symmetry and order in the portfolio allocation problem
• The Use of Archimedean Copulas to Model Portfolio Allocations
• The concept of comonotonicity in actuarial science and finance: theory.

Cited in

(8)

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

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