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Article: Ordering of optimal portfolio allocations in a model with a mixture of fundamental risks
Title | Ordering of optimal portfolio allocations in a model with a mixture of fundamental risks |
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Authors | |
Keywords | Asset Allocation Comonotonicity Dependence Structure Likelihood Ratio Order Stochastic Order Weak Convergence |
Issue Date | 2008 |
Publisher | Applied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html |
Citation | Journal of Applied Probability, 2008, v. 45 n. 1, p. 55-66 How to Cite? |
Abstract | In this paper we study a single-period optimal portfolio problem in which the aim of the investor is to maximize the expected utility. We assume that the return of every security in the market is a mixture of some common underlying source of risks. A sufficient condition to order the optimal allocations is obtained, and it is shown that several models studied in the literature before are special cases of the proposed model. In the course of the analysis concepts in stochastic orders are employed, and a new characterization of the likelihood ratio order is obtained. © Applied Probability Trust 2008. |
Persistent Identifier | http://hdl.handle.net/10722/172446 |
ISSN | 2023 Impact Factor: 0.7 2023 SCImago Journal Rankings: 0.551 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Cheung, KAC | en_US |
dc.contributor.author | Yang, H | en_US |
dc.date.accessioned | 2012-10-30T06:22:33Z | - |
dc.date.available | 2012-10-30T06:22:33Z | - |
dc.date.issued | 2008 | en_US |
dc.identifier.citation | Journal of Applied Probability, 2008, v. 45 n. 1, p. 55-66 | en_US |
dc.identifier.issn | 0021-9002 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172446 | - |
dc.description.abstract | In this paper we study a single-period optimal portfolio problem in which the aim of the investor is to maximize the expected utility. We assume that the return of every security in the market is a mixture of some common underlying source of risks. A sufficient condition to order the optimal allocations is obtained, and it is shown that several models studied in the literature before are special cases of the proposed model. In the course of the analysis concepts in stochastic orders are employed, and a new characterization of the likelihood ratio order is obtained. © Applied Probability Trust 2008. | en_US |
dc.language | eng | en_US |
dc.publisher | Applied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html | en_US |
dc.relation.ispartof | Journal of Applied Probability | en_US |
dc.subject | Asset Allocation | en_US |
dc.subject | Comonotonicity | en_US |
dc.subject | Dependence Structure | en_US |
dc.subject | Likelihood Ratio Order | en_US |
dc.subject | Stochastic Order | en_US |
dc.subject | Weak Convergence | en_US |
dc.title | Ordering of optimal portfolio allocations in a model with a mixture of fundamental risks | en_US |
dc.type | Article | en_US |
dc.identifier.email | Cheung, KAC: kccg@hku.hk | en_US |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_US |
dc.identifier.authority | Cheung, KAC=rp00677 | en_US |
dc.identifier.authority | Yang, H=rp00826 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1239/jap/1208358951 | en_US |
dc.identifier.scopus | eid_2-s2.0-43049090902 | en_US |
dc.identifier.hkuros | 142923 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-43049090902&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 45 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 55 | en_US |
dc.identifier.epage | 66 | en_US |
dc.identifier.isi | WOS:000254978900005 | - |
dc.publisher.place | United Kingdom | en_US |
dc.identifier.scopusauthorid | Cheung, KAC=10038874000 | en_US |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_US |
dc.identifier.issnl | 0021-9002 | - |