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OPTIMAL PORTFOLIO SELECTION WITH UPPER BOUNDS FOR INDIVIDUAL SECURITIES

โœ Scribed by Clarence C. Y. Kwan; Patrick C. Y. Yip

Book ID
109167098
Publisher
Decision Sciences Institute, Georgia State University
Year
1987
Tongue
English
Weight
212 KB
Volume
18
Category
Article
ISSN
0011-7315

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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