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

Author:

Li Xiaohu,You Yinping

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Decision Sciences

Reference27 articles.

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2. Boland, P. J., Proschan, F., & Tong, Y. L. (1988). Moment and geometric probability inequalities arising from arrangement increasing functions. The Annals of Probability, 16, 407–413.

3. Chen, Z., & Hu, T. (2008). Asset proportions in optimal portfolios with dependent default risks. Insurance: Mathematics and Economics, 43, 223–226.

4. Cheung, K. C. (2006). Optimal portfolio problem with unknown dependency structure. Insurance: Mathematics and Economics, 38, 167–175.

5. Cheung, K. C., & Yang, H. (2004). Ordering optimal proportions in the asset allocation problem with dependent default risks. Insurance: Mathematics and Economics, 35, 595–609.

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