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

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

0.00 Avg rating0 Votes
Article ID: iaor201472
Volume: 212
Issue: 1
Start Page Number: 155
End Page Number: 167
Publication Date: Jan 2014
Journal: Annals of Operations Research
Authors: ,
Keywords: risk
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.

Reviews

Required fields are marked *. Your email address will not be published.