Abstract
In this manuscript, we consider a risk-preference investor allocating some amount of capital to the dependent risky asset, where the responding asset will occur default if the stochastic return is less than some predetermined threshold. Then, we present sufficient conditions of the increasing convex order on capital allocation with dependent risky assets when the stochastic return is right tail weakly stochastic arrangement increasing. Finally, some numerical examples are given as illustrations.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
