Use of Archimedean Copulas to Model Portfolio Allocations, The
A copula is a means of generating an n-variate distribution function from an arbitrary set of n univariate distributions. For the class of portfolio allocators that are risk averse, we use the copula approach to identify a large set of n -variate asset return distributions such that the relative magnitudes of portfolio shares can be ordered according to the reversed hazard rate ordering of the n underlying univariate distributions. We also establish conditions under which first- and second-degree dominating shifts in one of the n underlying univariate distributions increase allocation to that asset. Our findings exploit separability properties possessed by the Archimedean family of copulas.
Year of publication: |
2002-04-01
|
---|---|
Authors: | Hennessy, David A. ; Lapan, Harvey E. |
Institutions: | Department of Economics, Iowa State University |
Saved in:
Saved in favorites
Similar items by person
-
Cost Arrangement and Welfare in a Multi-Product Cournot Oligopoly
Lapan, Harvey E., (2004)
-
Symmetry and Order in the Portfolio Allocation Problem
Lapan, Harvey E., (2002)
-
Technology Asymmetries, Group Algebra and Multi-Plant Cost Minimization
Hennessy, David A., (2003)
- More ...