Asset proportions in optimal portfolios with dependent default risks
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Publication:974807
DOI10.1016/j.insmatheco.2008.06.004zbMath1189.91070MaRDI QIDQ974807
Publication date: 8 June 2010
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.06.004
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Cites Work
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- Stochastic orders
- On dependence of risks and stop-loss premiums
- Ordering optimal proportions in the asset allocation problem with dependent default risks
- Asset Proportions in Optimal Portfolios
- Bivariate characterization of some stochastic order relations
- COMPARISON OF DEPENDENCE IN FACTOR MODELS WITH APPLICATION TO CREDIT RISK PORTFOLIOS