Abstract
This paper further studies the single-period portfolio allocation of risk assets under the assumption that random returns having increasing utility and Archimedean copula. The shares of risk assets in the optimal allocation are proved to be ordered when marginal returns have the likelihood ratio order, and sufficient conditions for the joint density of returns of a multivariate risk to be arrangement increasing is built as well.
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The authors would like to thank the valuable comments from two anonymous reviewers, which improved the presentation of this manuscript.
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Supported by National Natural Science Foundation of China (11171278).
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Li, X., You, Y. A note on allocation of portfolio shares of random assets with Archimedean copula. Ann Oper Res 212, 155–167 (2014). https://doi.org/10.1007/s10479-012-1137-y
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DOI: https://doi.org/10.1007/s10479-012-1137-y