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

Xiaohu Li () and Yinping You

Annals of Operations Research, 2014, vol. 212, issue 1, 155-167

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

Keywords: Arrangement increasing; Likelihood ratio order; Majorization order; Risk neutral; Stochastic order (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10479-012-1137-y

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