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Optimal portfolio problem with unknown dependency structure

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  • Cheung, Ka Chun

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  • Cheung, Ka Chun, 2006. "Optimal portfolio problem with unknown dependency structure," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 167-175, February.
  • Handle: RePEc:eee:insuma:v:38:y:2006:i:1:p:167-175
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    References listed on IDEAS

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    1. Landsberger, Michael & Meilijson, Isaac, 1990. "Demand for risky financial assets: A portfolio analysis," Journal of Economic Theory, Elsevier, vol. 50(1), pages 204-213, February.
    2. Harvey E. Lapan & David A. Hennessy, 2002. "Symmetry and order in the portfolio allocation problem," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), pages 747-772.
    3. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, pages 3-33.
    4. Cheung, Ka Chun & Yang, Hailiang, 2004. "Ordering optimal proportions in the asset allocation problem with dependent default risks," Insurance: Mathematics and Economics, Elsevier, pages 595-609.
    5. Vanduffel, S. & Dhaene, J. & Goovaerts, M. & Kaas, R., 2003. "The hurdle-race problem," Insurance: Mathematics and Economics, Elsevier, pages 405-413.
    6. Kaas, Rob & Dhaene, Jan & Goovaerts, Marc J., 2000. "Upper and lower bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, pages 151-168.
    7. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, pages 133-161.
    8. J. Dhaene & S. Vanduffel & M. J. Goovaerts & R. Kaas & D. Vyncke, 2005. "Comonotonic Approximations for Optimal Portfolio Selection Problems," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 253-300.
    9. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, pages 235-242.
    10. Dhaene, Jan & Goovaerts, Marc J., 1996. "Dependency of Risks and Stop-Loss Order," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 26(02), pages 201-212, November.
    11. Muller, Alfred, 1997. "Stop-loss order for portfolios of dependent risks," Insurance: Mathematics and Economics, Elsevier, pages 219-223.
    12. Hennessy, David A. & Lapan, Harvey E., 2002. "Use of Archimedean Copulas to Model Portfolio Allocations, The," Staff General Research Papers Archive 5223, Iowa State University, Department of Economics.
    13. Simon, S. & Goovaerts, M. J. & Dhaene, J., 2000. "An easy computable upper bound for the price of an arithmetic Asian option," Insurance: Mathematics and Economics, Elsevier, pages 175-183.
    14. Harvey E. Lapan & David A. Hennessy, 2002. "Symmetry and order in the portfolio allocation problem," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), pages 747-772.
    15. Masaaki Kijima & Masamitsu Ohnishi, 1996. "Portfolio Selection Problems Via The Bivariate Characterization Of Stochastic Dominance Relations," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 237-277.
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    Cited by:

    1. Zhang, Yiying & Zhao, Peng, 2015. "Comparisons on aggregate risks from two sets of heterogeneous portfolios," Insurance: Mathematics and Economics, Elsevier, pages 124-135.
    2. You, Yinping & Li, Xiaohu, 2015. "Functional characterizations of bivariate weak SAI with an application," Insurance: Mathematics and Economics, Elsevier, pages 225-231.
    3. Hua, Lei & Cheung, Ka Chun, 2008. "Stochastic orders of scalar products with applications," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 865-872, June.
    4. Cheung, Ka Chun, 2007. "Optimal allocation of policy limits and deductibles," Insurance: Mathematics and Economics, Elsevier, vol. 41(3), pages 382-391, November.

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