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Comonotonic Approximations for Optimal Portfolio Selection Problems

โœ Scribed by J. Dhaene; S. Vanduffel; M. J. Goovaerts; R. Kaas; D. Vyncke

Book ID
109158424
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
314 KB
Volume
72
Category
Article
ISSN
0022-4367

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๐Ÿ“œ SIMILAR VOLUMES

Comonotonic approximations for a general
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
โœ Koen Van Weert; Jan Dhaene; Marc Goovaerts ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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