Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks

Jun Cai and Wei Wei

Journal of Multivariate Analysis, 2015, vol. 138, issue C, 156-169

Abstract: In this paper, we propose the dependence notions of weakly stochastic arrangement increasing through left tail probability (LWSAI) and weakly stochastic arrangement increasing (WSAI) to model multivariate dependent risks. We derive properties and characterizations of these new notions and show that many existing dependence structures are the special cases of these notions of dependence. We apply the dependence notions of LWSAI and WSAI to the problem of optimal portfolio selections with dependent risks and generalize many existing studies.

Keywords: Dependence notion; Stochastic order; Arrangement increasing; Weakly stochastic arrangement increasing; Portfolio selection; Default risk model; Mixture risk model (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (16)

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DOI: 10.1016/j.jmva.2014.12.011

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