Asset proportions in optimal portfolios with dependent default risks

Zijin Chen and Taizhong Hu

Insurance: Mathematics and Economics, 2008, vol. 43, issue 2, 223-226

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].

Keywords: IE13; IM30; Usual; stochastic; order; (Increasing); concave; order; Default; risk; Dependence; structure (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:2:p:223-226

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