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Symmetry and order in the portfolio allocation problem

✍ Scribed by Harvey E. Lapan; David A. Hennessy


Book ID
105867297
Publisher
Springer
Year
2002
Tongue
English
Weight
214 KB
Volume
19
Category
Article
ISSN
0938-2259

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Equity allocation and portfolio selectio
✍ Erik Taflin πŸ“‚ Article πŸ“… 2000 πŸ› Elsevier Science 🌐 English βš– 179 KB

A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has solutio