Optimal portfolio selection for general provisioning and terminal wealth problems

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

zbMATH Keywords

portfolio selectioncomonotonicityminimal return requirementprovisioningterminal wealth

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

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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