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Article: Optimal portfolio problem with unknown dependency structure

TitleOptimal portfolio problem with unknown dependency structure
Authors
KeywordsAsset Allocation
Comonotonicity
Dependency Structure
Stochastic Order
Issue Date2006
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 2006, v. 38 n. 1, p. 167-175 How to Cite?
AbstractThis research studies a single-period expected utility-based optimal portfolio problem. Assets are divided into different groups. It is assumed that the actual dependency structure of the asset returns within each group is unknown, but assets belonging to different groups have independent returns. Instead of assuming any particular dependency structure within each group, we propose the maximin criterion as an alternative optimization criterion. The least favorable dependency structure is first identified, then we proceed to analyze the optimal portfolio problem as if this were the actual dependency structure. Sufficient conditions for ordering the aggregate amounts allocated to different groups, and for ordering the amounts allocated to different assets within each group are obtained. © 2005 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/172419
ISSN
2015 Impact Factor: 1.378
2015 SCImago Journal Rankings: 1.000
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorCheung, KCen_US
dc.date.accessioned2012-10-30T06:22:25Z-
dc.date.available2012-10-30T06:22:25Z-
dc.date.issued2006en_US
dc.identifier.citationInsurance: Mathematics And Economics, 2006, v. 38 n. 1, p. 167-175en_US
dc.identifier.issn0167-6687en_US
dc.identifier.urihttp://hdl.handle.net/10722/172419-
dc.description.abstractThis research studies a single-period expected utility-based optimal portfolio problem. Assets are divided into different groups. It is assumed that the actual dependency structure of the asset returns within each group is unknown, but assets belonging to different groups have independent returns. Instead of assuming any particular dependency structure within each group, we propose the maximin criterion as an alternative optimization criterion. The least favorable dependency structure is first identified, then we proceed to analyze the optimal portfolio problem as if this were the actual dependency structure. Sufficient conditions for ordering the aggregate amounts allocated to different groups, and for ordering the amounts allocated to different assets within each group are obtained. © 2005 Elsevier B.V. All rights reserved.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_US
dc.relation.ispartofInsurance: Mathematics and Economicsen_US
dc.subjectAsset Allocationen_US
dc.subjectComonotonicityen_US
dc.subjectDependency Structureen_US
dc.subjectStochastic Orderen_US
dc.titleOptimal portfolio problem with unknown dependency structureen_US
dc.typeArticleen_US
dc.identifier.emailCheung, KC: kccg@hku.hken_US
dc.identifier.authorityCheung, KC=rp00677en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/j.insmatheco.2005.08.006en_US
dc.identifier.scopuseid_2-s2.0-31544481850en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-31544481850&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume38en_US
dc.identifier.issue1en_US
dc.identifier.spage167en_US
dc.identifier.epage175en_US
dc.identifier.isiWOS:000235491400011-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridCheung, KC=10038874000en_US

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