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A subjective assessment of approximate probabilities with a portfolio application

✍ Scribed by K. Smimou; C.R. Bector; G. Jacoby


Book ID
113877745
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
436 KB
Volume
21
Category
Article
ISSN
0275-5319

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✍ 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