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

Jun Cai; Wei Wei

doi:10.1016/j.jmva.2014.12.011

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

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper, we propose the dependence notions of weakly stochastic arrangement increasing through left tail probability (LWSAI) and weakly stochastic arrangement increasing (WSAI) to model multivariate dependent risks. We derive properties and characterizations of these new notions and show that many existing dependence structures are the special cases of these notions of dependence. We apply the dependence notions of LWSAI and WSAI to the problem of optimal portfolio selections with dependent risks and generalize many existing studies.

Original language	English (US)
Pages (from-to)	156-169
Number of pages	14
Journal	Journal of Multivariate Analysis
Volume	138
DOIs	https://doi.org/10.1016/j.jmva.2014.12.011
State	Published - Jun 1 2015
Externally published	Yes

Keywords

Arrangement increasing
Default risk model
Dependence notion
Mixture risk model
Portfolio selection
Stochastic order
Weakly stochastic arrangement increasing

ASJC Scopus subject areas

Statistics and Probability
Numerical Analysis
Statistics, Probability and Uncertainty

Online availability

10.1016/j.jmva.2014.12.011

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Cite this

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title = "Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks",

abstract = "In this paper, we propose the dependence notions of weakly stochastic arrangement increasing through left tail probability (LWSAI) and weakly stochastic arrangement increasing (WSAI) to model multivariate dependent risks. We derive properties and characterizations of these new notions and show that many existing dependence structures are the special cases of these notions of dependence. We apply the dependence notions of LWSAI and WSAI to the problem of optimal portfolio selections with dependent risks and generalize many existing studies.",

keywords = "Arrangement increasing, Default risk model, Dependence notion, Mixture risk model, Portfolio selection, Stochastic order, Weakly stochastic arrangement increasing",

author = "Jun Cai and Wei Wei",

note = "Funding Information: The authors thank two anonymous referees, the associate editor, and the managing editor for careful reading and the useful comments and suggestions that improved the presentation of the paper. The first author thanks the support from the Natural Sciences and Engineering Research Council (NSERC, grant number 250031-2011 ) of Canada. The second author thanks the financial support from the University of Wisconsin-Milwaukee (grant number: PRJ69VR ). Publisher Copyright: {\textcopyright} 2014 Published by Elsevier Inc.",

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doi = "10.1016/j.jmva.2014.12.011",

language = "English (US)",

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AU - Cai, Jun

AU - Wei, Wei

N1 - Funding Information: The authors thank two anonymous referees, the associate editor, and the managing editor for careful reading and the useful comments and suggestions that improved the presentation of the paper. The first author thanks the support from the Natural Sciences and Engineering Research Council (NSERC, grant number 250031-2011 ) of Canada. The second author thanks the financial support from the University of Wisconsin-Milwaukee (grant number: PRJ69VR ). Publisher Copyright: © 2014 Published by Elsevier Inc.

PY - 2015/6/1

Y1 - 2015/6/1

N2 - In this paper, we propose the dependence notions of weakly stochastic arrangement increasing through left tail probability (LWSAI) and weakly stochastic arrangement increasing (WSAI) to model multivariate dependent risks. We derive properties and characterizations of these new notions and show that many existing dependence structures are the special cases of these notions of dependence. We apply the dependence notions of LWSAI and WSAI to the problem of optimal portfolio selections with dependent risks and generalize many existing studies.

AB - In this paper, we propose the dependence notions of weakly stochastic arrangement increasing through left tail probability (LWSAI) and weakly stochastic arrangement increasing (WSAI) to model multivariate dependent risks. We derive properties and characterizations of these new notions and show that many existing dependence structures are the special cases of these notions of dependence. We apply the dependence notions of LWSAI and WSAI to the problem of optimal portfolio selections with dependent risks and generalize many existing studies.

KW - Arrangement increasing

KW - Default risk model

KW - Dependence notion

KW - Mixture risk model

KW - Portfolio selection

KW - Stochastic order

KW - Weakly stochastic arrangement increasing

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JO - Journal of Multivariate Analysis

JF - Journal of Multivariate Analysis

ER -

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

Abstract

Keywords

ASJC Scopus subject areas

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