Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection

DOI10.1016/J.CAM.2011.01.012MaRDI QIDQ2431357zbMATH OpenOpenAlexFDO

Authors J. Dhaene, Koen van Weert, Marc J. Goovaerts

Publication date 13 April 2011

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2011.01.012

zbMATH Keywords

comonotonicityconstant mix strategiesportfolio selectionprovisioning

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Optimal portfolio selection for general provisioning and terminal wealth problems
• Applications of conditional comonotonicity to some optimization problems
• Comonotonic approximation to periodic investment problems under stochastic drift
• A provisioning problem with stochastic payments
• Convex order approximations in the case of cash flows of mixed signs

Cites work

• Asymptotics of sums of lognormal random variables with Gaussian copula
• Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
• Comparing approximations for risk measures of sums of nonindependent lognormal random variables
• scientific article; zbMATH DE number 5321684 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Optimal portfolio selection for general provisioning and terminal wealth problems
• Optimum consumption and portfolio rules in a continuous-time model
• Risk Measures and Comonotonicity: A Review
• Ruined moments in your life: how good are the approximations?
• Self-Annuitization and Ruin in Retirement
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The log-normal approximation in financial and other computations
• The pricing of options and corporate liabilities
• Upper and lower bounds for sums of random variables

Cited in

(9)

• Comonotonic approximation to periodic investment problems under stochastic drift
• A provisioning problem with stochastic payments
• Convex order approximations in the case of cash flows of mixed signs
• A framework for robust measurement of implied correlation
• Default probabilities of a holding company, with complete and partial information
• A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk
• Asymptotic stochastic dominance rules for sums of i.i.d. random variables
• Applications of conditional comonotonicity to some optimization problems
• Optimal portfolio selection for general provisioning and terminal wealth problems

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Uses Software

• QRM

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