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Ordering optimal proportions in the asset allocation problem with dependent default risks [An article from: Insurance Mathematics and Economics]
Book Details
Author(s)K.C. Cheung, H. Yang
PublisherElsevier
ISBN / ASINB000RR1THO
ISBN-13978B000RR1TH9
AvailabilityAvailable for download now
MarketplaceUnited States 🇺🇸
Description
This digital document is a journal article from Insurance Mathematics and Economics, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
Financial 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.
Description:
Financial 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.
