Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks-Reference-Cited by-同舟云学术

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Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks

Published:2015-06 Issue: Volume:138 Page:156-169
ISSN:0047-259X
Container-title:Journal of Multivariate Analysis
language:en
Short-container-title:Journal of Multivariate Analysis

Author:

Cai Jun,Wei Wei

Funder

Natural Sciences and Engineering Research Council

University of Wisconsin-Milwaukee

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference19 articles.

1. Some new notions of dependence with applications in optimal allocation problems;Cai;Insurance Math. Econom.,2014

2. Asset proportions in optimal portfolios with dependent default risks;Chen;Insurance Math. Econom.,2008

3. Ordering optimal proportions in the asset allocation problem with dependent default risks;Cheung;Insurance Math. Econom.,2004

4. Ordering of optimal portfolio allocations in a model with a mixture of fundamental risks;Cheung;J. Appl. Probab.,2008

5. The concept of comonotonicity in actuarial science and finance: theory;Dhaene;Insurance Math. Econom.,2002

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