Comonotonic approximations for optimal portfolio selection problems

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<title>Comonotonic approximations for optimal portfolio selection problems</title>
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<title>The Journal of risk and insurance</title>
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<abstract>The autors investigate multiperiod portfolio selection problems in a Black and Scholes type market where a basket of 1 riskfree and "m" risky securities are traded continuously. We look for the optimal allocation of wealth within the class of "constant mix" portfolios. First, the autors consider the portfolio selection problem of a decision maker who invests money at predetermined points in time in order to obtain a target capital at the end of the time period under consideration. A second problem concerns a decision maker who invests some amount of money (the initial wealth or provision) in order to be able to fullfil a series of future consumptions or payment obligations</abstract>
<note type="statement of responsibility">J. Dhaene... [et al.]</note>
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<text>Volume 72, number 2, June 2005 ;  p. 253-300</text>
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