On allocations to portfolios of assets with statistically dependent potential risk returns

DOI10.1016/j.insmatheco.2016.03.006zbMath1369.91090OpenAlexW2304113230MaRDI QIDQ320292

Xiaohu Li, Chen Li

Publication date: 6 October 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.03.006

zbMATH Keywords

usual stochastic orderarrangement increasingdefault risksincreasing concave orderlower orthant arrangement increasingrisk averse

Mathematics Subject Classification ID

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

Related Items (8)

On capital allocation for stochastic arrangement increasing actuarial risks ⋮ ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES ⋮ Joint stochastic orders of high degrees and their applications in portfolio selections ⋮ A count-based nonparametric test on strict bivariate Stochastic arrangement increasing property ⋮ Ordering optimal deductible allocations for stochastic arrangement increasing risks ⋮ Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns ⋮ Preservation of weak stochastic arrangement increasing under fixed time left-censoring ⋮ Preservation of weak SAI's under increasing transformations with applications

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