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A generalized clark representation formula, with application to optimal portfolios

✍ Scribed by Ocone, Daniel L. ;Karatzas, Ioannis

Book ID
120835506
Publisher
Taylor and Francis Group
Year
1991
Weight
986 KB
Volume
34
Category
Article
ISSN
1045-1129

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πŸ“œ SIMILAR VOLUMES

Comonotonic approximations for a general
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
✍ Koen Van Weert; Jan Dhaene; Marc Goovaerts πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 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