Asset proportions in optimal portfolios with dependent default risks
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Publication:974807
DOI10.1016/j.insmatheco.2008.06.004zbMath1189.91070OpenAlexW1971269975MaRDI QIDQ974807
Publication date: 8 June 2010
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.06.004
Related Items (10)
Arrangement increasing resource allocation ⋮ On allocations to portfolios of assets with statistically dependent potential risk returns ⋮ 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 ⋮ Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns ⋮ A note on allocation of portfolio shares of random assets with Archimedean copula ⋮ Preservation of weak SAI's under increasing transformations with applications ⋮ Ordering scalar products with applications in financial engineering and actuarial science ⋮ Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management ⋮ Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks
Uses Software
Cites Work
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- Stochastic orders
- On dependence of risks and stop-loss premiums
- Ordering optimal proportions in the asset allocation problem with dependent default risks
- Asset Proportions in Optimal Portfolios
- Bivariate characterization of some stochastic order relations
- COMPARISON OF DEPENDENCE IN FACTOR MODELS WITH APPLICATION TO CREDIT RISK PORTFOLIOS
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