Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 155-167 |
| Number of pages | 13 |
| Journal | Annals of Operations Research |
| Volume | 212 |
| Issue number | 1 |
| DOIs | |
| State | Published - Jan 2014 |
Keywords
- Arrangement increasing
- Likelihood ratio order
- Majorization order
- Risk neutral
- Stochastic order
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