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Comonotonic Approximations for Optimal Portfolio Selection Problems

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

Book ID
124615578
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
1005 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