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Comonotonic approximations for optimal portfolio selection problems
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MAP20071506978
Comonotonic approximations for optimal portfolio selection problems / J. Dhaene... [et al.]
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
En: The Journal of risk and insurance. - Orlando. - Volume 72, number 2, June 2005 ; p. 253-300
1. Matemática del seguro ‌. 2. Modelos matemáticos ‌. 3. Mercados financieros ‌. I. Dhaene, J ‌. II. Título. III. Título: The Journal of risk and insurance.