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

作者：Li, Xiaohu^*; You, Yinping

来源：Annals of Operations Research, 2014, 212(1): 155-167.

DOI：10.1007/s10479-012-1137-y

• Arrangement increasing
• Likelihood ratio order
• Majorization order
• Risk neutral
• Stochastic order

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.

• 出版日期2014-1
• 单位厦门大学