Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077706 | Insurance: Mathematics and Economics | 2006 | 9 Pages |
Abstract
This research studies a single-period expected utility-based optimal portfolio problem. Assets are divided into different groups. It is assumed that the actual dependency structure of the asset returns within each group is unknown, but assets belonging to different groups have independent returns. Instead of assuming any particular dependency structure within each group, we propose the maximin criterion as an alternative optimization criterion. The least favorable dependency structure is first identified, then we proceed to analyze the optimal portfolio problem as if this were the actual dependency structure. Sufficient conditions for ordering the aggregate amounts allocated to different groups, and for ordering the amounts allocated to different assets within each group are obtained.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Ka Chun Cheung,