A note on allocation of portfolio shares of random assets with Archimedean copula

DOI10.1007/s10479-012-1137-yzbMath1291.91195OpenAlexW2073339390MaRDI QIDQ2449393

Yinping You, Xiaohu Li

Publication date: 8 May 2014

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-012-1137-y

zbMATH Keywords

stochastic orderlikelihood ratio orderarrangement increasingmajorization orderrisk neutral

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

Related Items (13)

RESIDUAL STOCHASTIC PRECEDENCE ORDER ⋮ On allocations to portfolios of assets with statistically dependent potential risk returns ⋮ Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas ⋮ Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems ⋮ Functional characterizations of bivariate weak SAI with an application ⋮ Comparison of hazard rates for dependent random variables ⋮ Ordering scalar products with applications in financial engineering and actuarial science ⋮ On redundant weighted voting systems with components having stochastic arrangement increasing lifetimes ⋮ Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration ⋮ Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management ⋮ A note on relationships between some univariate stochastic orders and the corresponding joint stochastic orders ⋮ Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks ⋮ Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour

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