TY - JOUR
T1 - A note on allocation of portfolio shares of random assets with Archimedean copula
AU - Li, Xiaohu
AU - You, Yinping
PY - 2014/1
Y1 - 2014/1
N2 - This paper further studies the single-period portfolio allocation of risk assets under the assumption that random returns having increasing utility and Archimedean copula. The shares of risk assets in the optimal allocation are proved to be ordered when marginal returns have the likelihood ratio order, and sufficient conditions for the joint density of returns of a multivariate risk to be arrangement increasing is built as well.
AB - This paper further studies the single-period portfolio allocation of risk assets under the assumption that random returns having increasing utility and Archimedean copula. The shares of risk assets in the optimal allocation are proved to be ordered when marginal returns have the likelihood ratio order, and sufficient conditions for the joint density of returns of a multivariate risk to be arrangement increasing is built as well.
KW - Arrangement increasing
KW - Likelihood ratio order
KW - Majorization order
KW - Risk neutral
KW - Stochastic order
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U2 - 10.1007/s10479-012-1137-y
DO - 10.1007/s10479-012-1137-y
M3 - Article
AN - SCOPUS:84891902058
SN - 0254-5330
VL - 212
SP - 155
EP - 167
JO - Annals of Operations Research
JF - Annals of Operations Research
IS - 1
ER -