Comonotonic approximations for optimal portfolio selection problems

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000nab a2200000 i 4500</leader>
    <controlfield tag="001">MAP20071506978</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20080418125327.0</controlfield>
    <controlfield tag="007">hzruuu---uuuu</controlfield>
    <controlfield tag="008">050711e20050601usa||||    | |00010|eng d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Comonotonic approximations for optimal portfolio selection problems</subfield>
      <subfield code="c">J. Dhaene... [et al.]</subfield>
    </datafield>
    <datafield tag="520" ind1="8" ind2=" ">
      <subfield code="a">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</subfield>
    </datafield>
    <datafield tag="650" ind1="0" ind2="1">
      <subfield code="0">MAPA20080602437</subfield>
      <subfield code="a">Matemática del seguro</subfield>
    </datafield>
    <datafield tag="650" ind1="1" ind2="1">
      <subfield code="0">MAPA20080592042</subfield>
      <subfield code="a">Modelos matemáticos</subfield>
    </datafield>
    <datafield tag="650" ind1="1" ind2="1">
      <subfield code="0">MAPA20080597641</subfield>
      <subfield code="a">Mercados financieros</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20080003975</subfield>
      <subfield code="a">Dhaene, J</subfield>
    </datafield>
    <datafield tag="740" ind1="4" ind2=" ">
      <subfield code="a">The Journal of risk and insurance</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Orlando</subfield>
      <subfield code="g">Volume 72, number 2, June 2005 ;  p. 253-300</subfield>
    </datafield>
  </record>
</collection>