Ordering optimal proportions in the asset allocation problem with dependent default risks

Financial instruments traded in the market, very often, are subject to default risk. It is well known that the default risks of different instruments are dependent on each other. In this paper, we consider a portfolio selection problem where assets are
exposed to dependent default risk. Two different models are proposed to model the default mechanism: the Threshold Model and the Independence Model. By applying some techniques of stochastic orders, we are able to obtain sufficient conditions to order the optimal amount invested in each asset.