A note on allocation of portfolio shares of random assets with Archimedean copula

被引：16
|
作者：
Li, Xiaohu [1 ]
You, Yinping [1 ]
机构：
[1] Xiamen Univ, Sch Math Sci, Xiamen 361005, Peoples R China
来源：
ANNALS OF OPERATIONS RESEARCH | 2014年 / 212卷 / 01期
基金：
中国国家自然科学基金;
关键词：
Arrangement increasing; Likelihood ratio order; Majorization order; Risk neutral; Stochastic order; BIVARIATE DISTRIBUTIONS; PROPORTIONS; FAMILIES;
D O I：
10.1007/s10479-012-1137-y
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
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页码：155 / 167
页数：13
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