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

Authors :
Li, Xiaohu
You, Yinping
Source :
Annals of Operations Research. Jan2014, Vol. 212 Issue 1, p155-167. 13p.
Publication Year :
2014

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. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
02545330
Volume :
212
Issue :
1
Database :
Academic Search Index
Journal :
Annals of Operations Research
Publication Type :
Academic Journal
Accession number :
93504058
Full Text :
https://doi.org/10.1007/s10479-012-1137-y