IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v43y2008i2p223-226.html
   My bibliography  Save this article

Asset proportions in optimal portfolios with dependent default risks

Author

Listed:
  • Chen, Zijin
  • Hu, Taizhong

Abstract

In this note, we consider the dependent default risk model of factor type. The dependence between the returns of assets is driven by default indicators. Sufficient conditions on the dependence structure of default indicators and on the utility function are investigated which enable one to order the optimal amount invested in each asset. We thus complement one result in [Cheung, K.C., Yang, H., 2004. Ordering optimal proportions in the asset allocation problem with dependent default risks. Insurance: Math. Econom. 35, 595-609].

Suggested Citation

  • Chen, Zijin & Hu, Taizhong, 2008. "Asset proportions in optimal portfolios with dependent default risks," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 223-226, October.
    • Handle: RePEc:eee:insuma:v:43:y:2008:i:2:p:223-226
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(08)00081-4
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Josef Hadar & Tae Kun Seo, 1988. "Asset Proportions in Optimal Portfolios," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 55(3), pages 459-468.
    2. 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.
    3. Hu, Taizhong & Wu, Zhiqiang, 1999. "On dependence of risks and stop-loss premiums," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 323-332, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. Li, Chen & Li, Xiaohu, 2020. "Preservation of weak SAI’s under increasing transformations with applications," Statistics & Probability Letters, Elsevier, vol. 164(C).
    3. 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.
    4. Wei, Wei, 2017. "Joint stochastic orders of high degrees and their applications in portfolio selections," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 141-148.
    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. Qi Feng & J. George Shanthikumar, 2018. "Arrangement Increasing Resource Allocation," Methodology and Computing in Applied Probability, Springer, vol. 20(3), pages 935-955, September.
    7. Li, Chen & Li, Xiaohu, 2019. "Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 84-91.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Li, Chen & Li, Xiaohu, 2019. "Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 84-91.
    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. Wei, Wei, 2017. "Joint stochastic orders of high degrees and their applications in portfolio selections," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 141-148.
    4. 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.
    5. Ka Chun Cheung & Michel Denuit & Jan Dhaene, 2017. "Tail mutual exclusivity and Tail-VaR lower bounds," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2017(1), pages 88-104, January.
    6. Frostig, Esther, 2006. "On risk dependence and mrl ordering," Statistics & Probability Letters, Elsevier, vol. 76(3), pages 231-243, February.
    7. Chuancun Yin & Dan Zhu, 2016. "Sharp convex bounds on the aggregate sums--An alternative proof," Papers 1603.05373, arXiv.org, revised May 2016.
    8. Denuit, Michel M. & Huang, Rachel J. & Tzeng, Larry Y. & Wang, Christine W., 2014. "Almost marginal conditional stochastic dominance," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 57-66.
    9. Ephraim Clark & Octave Jokung, 1999. "A Note on Asset Proportions, Stochastic Dominance, and the 50% Rule," Management Science, INFORMS, vol. 45(12), pages 1724-1727, December.
    10. Chunle Huang, 2025. "Distortion risk measures of sums of two counter-monotonic risks," Papers 2503.05256, arXiv.org.
    11. Qi Feng & J. George Shanthikumar, 2018. "Arrangement Increasing Resource Allocation," Methodology and Computing in Applied Probability, Springer, vol. 20(3), pages 935-955, September.
    12. Cheung, Ka Chun, 2006. "Optimal portfolio problem with unknown dependency structure," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 167-175, February.
    13. Michel Denuit & Louis Eeckhoudt, 2016. "Risk aversion, prudence, and asset allocation: a review and some new developments," Theory and Decision, Springer, vol. 80(2), pages 227-243, February.
    14. Erin Baker, 2009. "Optimal Policy under Uncertainty and Learning about Climate Change: A Stochastic Dominance Approach," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 11(5), pages 721-747, October.
    15. Pablo Azcue & Nora Muler & Zbigniew Palmowski, 2016. "Optimal dividend payments for a two-dimensional insurance risk process," Papers 1603.07019, arXiv.org, revised Apr 2018.
    16. Michel Denuit & Rachel Huang & Larry Tzeng, 2015. "Almost expectation and excess dependence notions," Theory and Decision, Springer, vol. 79(3), pages 375-401, November.
    17. H'el`ene Cossette & Etienne Marceau & Alessandro Mutti & Patrizia Semeraro, 2024. "Generalized FGM dependence: Geometrical representation and convex bounds on sums," Papers 2406.10648, arXiv.org, revised Oct 2024.
    18. Ribas, Carme & Marin-Solano, Jesus & Alegre, Antonio, 2003. "On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 201-215, April.
    19. Li, Chen & Li, Xiaohu, 2020. "Preservation of weak SAI’s under increasing transformations with applications," Statistics & Probability Letters, Elsevier, vol. 164(C).
    20. Post, Thierry & Kopa, Miloš, 2013. "General linear formulations of stochastic dominance criteria," European Journal of Operational Research, Elsevier, vol. 230(2), pages 321-332.

    More about this item

    Keywords

    ;

    JEL classification:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:43:y:2008:i:2:p:223-226. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.