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On allocations to portfolios of assets with statistically dependent potential risk returns

Institution:	1. College of Horticulture and Landscape, Southwest University, Chongqing 400715, China;2. Citrus Research Institute, Southwest University, Chongqing 400712, China;3. Citrus Research Institute, Chinese Academy of Agricultural Sciences, Chongqing 400712, China;1. School of Life Science and Technology, Harbin Institute of Technology, Harbin 150001, China;2. State Key Laboratory of Urban Water Resource and Environment, Harbin Institute of Technology, Harbin 150006, China;2. Department of Eastern Medicine, Directorate of Medical Sciences, Government College University, Faisalabad, Pakistan;3. TCM and Ethnomedicine Innovation & Development Laboratory, School of Pharmacy, Hunan University of Chinese Medicine, Changsha, China;4. College of Biology, Hunan Province Key Laboratory of Plant Functional Genomics and Developmental Regulation, Hunan University, Changsha, China;5. Institute of Plant Sciences, Volcani Center, Rishon LeZion, Israel;6. Judea Regional Research and Development Center, Kiryat Arba, Israel

Abstract:	This note studies how the allocation impacts on the expected potential return of the portfolio of risk assets with some new dependence structures characterized through the orthant probability of their potential returns. As applications, we revisit the financial risk model and actuarial default risk model, and study the dependence structure of potential risk returns and the utility functions such that in the optimal allocations the assets are arranged in ascending order. The main results complement some related ones of Cheung and Yang (2004) and Chen and Hu (2008).

Keywords:	Arrangement increasing Default risks Lower orthant arrangement increasing Risk averse Usual stochastic order Increasing concave order
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