On allocations to portfolios of assets with statistically dependent potential risk returns
This note studies how the allocation impacts on the expected potential return of the portfolio of risk assets with some new dependence structures characterized through the orthant probability of their potential returns. As applications, we revisit the financial risk model and actuarial default risk...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Li, Xiaohu [verfasserIn] |
|---|
| Format: |
E-Artikel |
|---|---|
| Sprache: |
Englisch |
| Erschienen: |
2016 |
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| Schlagwörter: |
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| Umfang: |
9 |
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| Übergeordnetes Werk: |
Enthalten in: Type V secretion: From biogenesis to biotechnology - van Ulsen, Peter ELSEVIER, 2014transfer abstract, mathematics and economics, Amsterdam |
|---|---|
| Übergeordnetes Werk: |
volume:68 ; year:2016 ; pages:178-186 ; extent:9 |
| Links: |
|---|
| DOI / URN: |
10.1016/j.insmatheco.2016.03.006 |
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This note studies how the allocation impacts on the expected potential return of the portfolio of risk assets with some new dependence structures characterized through the orthant probability of their potential returns. As applications, we revisit the financial risk model and actuarial default risk model, and study the dependence structure of potential risk returns and the utility functions such that in the optimal allocations the assets are arranged in ascending order. The main results complement some related ones of Cheung and Yang (2004) and Chen and Hu (2008). |
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This note studies how the allocation impacts on the expected potential return of the portfolio of risk assets with some new dependence structures characterized through the orthant probability of their potential returns. As applications, we revisit the financial risk model and actuarial default risk model, and study the dependence structure of potential risk returns and the utility functions such that in the optimal allocations the assets are arranged in ascending order. The main results complement some related ones of Cheung and Yang (2004) and Chen and Hu (2008). |
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This note studies how the allocation impacts on the expected potential return of the portfolio of risk assets with some new dependence structures characterized through the orthant probability of their potential returns. As applications, we revisit the financial risk model and actuarial default risk model, and study the dependence structure of potential risk returns and the utility functions such that in the optimal allocations the assets are arranged in ascending order. The main results complement some related ones of Cheung and Yang (2004) and Chen and Hu (2008). |
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