Optimal portfolio problem with unknown dependency structure

DOI10.1016/j.insmatheco.2005.08.006zbMath1133.91410OpenAlexW2085749436MaRDI QIDQ2507949

Ka Chun Cheung

Publication date: 5 October 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.08.006

zbMATH Keywords

stochastic ordercomonotonicitydependency structureasset allocation

Mathematics Subject Classification ID

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

Related Items (12)

Arrangement increasing resource allocation ⋮ Comparisons on aggregate risks from two sets of heterogeneous portfolios ⋮ A note on allocation of portfolio shares of random assets with Archimedean copula ⋮ Stochastic orders of scalar products with applications ⋮ Functional characterizations of bivariate weak SAI with an application ⋮ Optimal allocation of policy limits and deductibles ⋮ Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors ⋮ Increasing convex order on generalized aggregation of SAI random variables with applications ⋮ Ordering scalar products with applications in financial engineering and actuarial science ⋮ Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks ⋮ Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management ⋮ On the increasing convex order of generalized aggregation of dependent random variables

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