Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks

DOI10.1239/jap/1208358951zbMath1137.62071OpenAlexW2053918556MaRDI QIDQ5459908

Ka Chun Cheung, Hailiang Yang

Publication date: 30 April 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1208358951

zbMATH Keywords

weak convergencestochastic orderlikelihood ratio ordercomonotonicitydependence structureasset allocation

Mathematics Subject Classification ID

Related Items (3)

Arrangement increasing resource allocation ⋮ Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors ⋮ Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks

Cites Work

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• The Use of Archimedean Copulas to Model Portfolio Allocations
• Existence of measurable modifications of stochastic processes
• Stochastic finance. An introduction in discrete time

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