Asset proportions in optimal portfolios with dependent default risks

DOI10.1016/j.insmatheco.2008.06.004zbMath1189.91070MaRDI QIDQ974807

Taizhong Hu, Zijin Chen

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

zbMATH Keywords

usual stochastic order; default risk; dependence structure; (increasing) concave order

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

91G10: Portfolio theory

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Uses Software

• QRM

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