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

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  • Xiaohu Li
  • Yinping You

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. Copyright Springer Science+Business Media, LLC 2014

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  • Xiaohu Li & Yinping You, 2014. "A note on allocation of portfolio shares of random assets with Archimedean copula," Annals of Operations Research, Springer, vol. 212(1), pages 155-167, January.
    • Handle: RePEc:spr:annopr:v:212:y:2014:i:1:p:155-167:10.1007/s10479-012-1137-y
    DOI: 10.1007/s10479-012-1137-y
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    References listed on IDEAS

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    5. Cheung, Ka Chun & Yang, Hailiang, 2004. "Ordering optimal proportions in the asset allocation problem with dependent default risks," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 595-609, December.
    6. David A. Hennessy & Harvey E. Lapan, 2002. "The Use of Archimedean Copulas to Model Portfolio Allocations," Mathematical Finance, Wiley Blackwell, vol. 12(2), pages 143-154, April.
    7. Cheung, Ka Chun, 2006. "Optimal portfolio problem with unknown dependency structure," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 167-175, February.
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    Cited by:

    1. Martin Branda, 2016. "Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour," 4OR, Springer, vol. 14(1), pages 77-99, March.
    2. Li, Xiaohu & Li, Chen, 2016. "On allocations to portfolios of assets with statistically dependent potential risk returns," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 178-186.
    3. You, Yinping & Li, Xiaohu, 2015. "Functional characterizations of bivariate weak SAI with an application," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 225-231.
    4. Yinping You & Xiaohu Li, 2017. "Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas," Annals of Operations Research, Springer, vol. 259(1), pages 485-501, December.
    5. Cai, Jun & Wei, Wei, 2015. "Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 156-169.
    6. E. Allevi & L. Boffino & M. E. Giuli & G. Oggioni, 2019. "Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems," Annals of Operations Research, Springer, vol. 274(1), pages 1-37, March.

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