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On one problem for comonotone approximation

✍ Scribed by O. N. Nesterenko; T. O. Petrova

Publisher
Springer
Year
2005
Tongue
English
Weight
162 KB
Volume
57
Category
Article
ISSN
0041-5995

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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