TY - JOUR
T1 - On allocations to portfolios of assets with statistically dependent potential risk returns
AU - Li, Xiaohu
AU - Li, Chen
N1 - Publisher Copyright:
© 2016 Elsevier B.V.
PY - 2016/5/1
Y1 - 2016/5/1
N2 - 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).
AB - 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).
KW - Arrangement increasing
KW - Default risks
KW - Increasing concave order
KW - Lower orthant arrangement increasing
KW - Risk averse
KW - Usual stochastic order
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U2 - 10.1016/j.insmatheco.2016.03.006
DO - 10.1016/j.insmatheco.2016.03.006
M3 - Article
AN - SCOPUS:84962631936
SN - 0167-6687
VL - 68
SP - 178
EP - 186
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
ER -