Optimal portfolio selection for general provisioning and terminal wealth problems
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Publication:661214
DOI10.1016/J.INSMATHECO.2010.04.003zbMath1231.91422OpenAlexW2134660765MaRDI QIDQ661214
Jan Dhaene, Koen van Weert, Marc J. Goovaerts
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://lirias.kuleuven.be/handle/123456789/252038
Related Items (7)
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection ⋮ Convex order approximations in the case of cash flows of mixed signs ⋮ Less is more: increasing retirement gains by using an upside terminal wealth constraint ⋮ Chance-constrained optimization for pension fund portfolios in the presence of default risk ⋮ IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON WEALTH ⋮ Reactive investment strategies ⋮ A framework for robust measurement of implied correlation
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