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Article: Ordering optimal proportions in the asset allocation problem with dependent default risks

TitleOrdering optimal proportions in the asset allocation problem with dependent default risks
Authors
KeywordsAsset allocation
Comonotonicity
Default risk
Dependency structure
Stochastic order
Issue Date2004
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 2004, v. 35 n. 3, p. 595-609 How to Cite?
AbstractFinancial instruments traded in the market, very often, are subject to default risk. It is well known that the default risks of different instruments are dependent on each other. In this paper, we consider a portfolio selection problem where assets are exposed to dependent default risk. Two different models are proposed to model the default mechanism: the Threshold Model and the Independence Model. By applying some techniques of stochastic orders, we are able to obtain sufficient conditions to order the optimal amount invested in each asset. © 2004 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/82713
ISSN
2015 Impact Factor: 1.378
2015 SCImago Journal Rankings: 1.000
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorCheung, KCen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2010-09-06T08:32:33Z-
dc.date.available2010-09-06T08:32:33Z-
dc.date.issued2004en_HK
dc.identifier.citationInsurance: Mathematics And Economics, 2004, v. 35 n. 3, p. 595-609en_HK
dc.identifier.issn0167-6687en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82713-
dc.description.abstractFinancial instruments traded in the market, very often, are subject to default risk. It is well known that the default risks of different instruments are dependent on each other. In this paper, we consider a portfolio selection problem where assets are exposed to dependent default risk. Two different models are proposed to model the default mechanism: the Threshold Model and the Independence Model. By applying some techniques of stochastic orders, we are able to obtain sufficient conditions to order the optimal amount invested in each asset. © 2004 Elsevier B.V. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_HK
dc.relation.ispartofInsurance: Mathematics and Economicsen_HK
dc.rightsInsurance: Mathematics and Economics. Copyright © Elsevier BV.en_HK
dc.subjectAsset allocationen_HK
dc.subjectComonotonicityen_HK
dc.subjectDefault risken_HK
dc.subjectDependency structureen_HK
dc.subjectStochastic orderen_HK
dc.titleOrdering optimal proportions in the asset allocation problem with dependent default risksen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0167-6687&volume=35&issue=3&spage=595&epage=609&date=2004&atitle=Ordering+optimal+proportions+in+the+asset+allocation+problem+with+dependent+default+risks+en_HK
dc.identifier.emailCheung, KC: kccg@hku.hken_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityCheung, KC=rp00677en_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.insmatheco.2004.07.013en_HK
dc.identifier.scopuseid_2-s2.0-10144222654en_HK
dc.identifier.hkuros101261en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-10144222654&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume35en_HK
dc.identifier.issue3en_HK
dc.identifier.spage595en_HK
dc.identifier.epage609en_HK
dc.identifier.isiWOS:000225813100007-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridCheung, KC=10038874000en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK

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