Almost expectation and excess dependence notions

DOI10.1007/S11238-014-9476-6zbMATH Open1378.91113OpenAlexW2074380025MaRDI QIDQ893027FDOQ893027

Authors: Rachel J. Huang, Larry Y. Tzeng, Michel Denuit 

Publication date: 13 November 2015

Published in: Theory and Decision (Search for Journal in Brave)

Full work available at URL: https://cdn.uclouvain.be/public/Exports%20reddot/stat/documents/DP2013_05_denuit_almost.pdf

Recommendations

• Expectation dependence of random variables, with an application in portfolio theory
• Bivariate almost stochastic dominance
• 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
• Characterizations on almost stochastic dominance revisited

zbMATH Keywords

portfolio theorybackground riskdiversificationoptimal investmentalmost stochastic dominance

Mathematics Subject Classification ID

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

Cites Work

• Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
• Expectation dependence of random variables, with an application in portfolio theory
• Correlated risks, bivariate utility and optimal choices
• The demand for a risky asset in the presence of a background risk
• Multivariate Risk Aversion, Utility Independence and Separable Utility Functions
• Asset Proportions in Optimal Portfolios
• Preferred by ``all and preferred by ``most decision makers: almost stochastic dominance
• A note on almost stochastic dominance
• Monotonic dependence functions of bivariate distributions

Cited In (10)

• Risk aversion with two risks: a theoretical extension
• Fractional-degree expectation dependence
• Validation of positive expectation dependence
• Testing for positive expectation dependence
• Expectation dependence of random variables, with an application in portfolio theory
• Risk reducers in convex order
• Confidence band for expectation dependence with applications
• Risk aversion, prudence, and asset allocation: a review and some new developments
• Preserving the Rothschild-Stiglitz type increase in risk with background risk: a characterization
• Comparative risk aversion with two risks

This page was built for publication: Almost expectation and excess dependence notions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q893027)