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Ordering optimal proportions in the asset allocation problem with dependent default risks - MaRDI portal

Ordering optimal proportions in the asset allocation problem with dependent default risks (Q2485530)

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Ordering optimal proportions in the asset allocation problem with dependent default risks
scientific article

    Statements

    title
    Ordering optimal proportions in the asset allocation problem with dependent default risks (English)
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    author
    Ka Chun Cheung
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    Hailiang Yang
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    publication date
    5 August 2005
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    zbMATH Keywords
    stochastic order
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    dependency structure
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    comonotonicity
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91B30
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    60E15
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    zbMATH DE Number
    2192303
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    OpenAlex ID
    W2047547814
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