Comonotonic approximations for a general
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Koen Van Weert; Jan Dhaene; Marc Goovaerts
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Article
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2011
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Elsevier Science
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English
⚖ 284 KB
In this paper we discuss multiperiod portfolio selection problems related to a specific provisioning problem. Our results are an extension of Dhaene et al. (2005) [14], where optimal constant mix investment strategies are obtained in a provisioning and savings context, using an analytical approach b