کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4640099 1341260 2011 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
چکیده انگلیسی

In this paper we discuss multiperiod portfolio selection problems related to a specific provisioning problem. Our results are an extension of Dhaene et al. (2005) [14], where optimal constant mix investment strategies are obtained in a provisioning and savings context, using an analytical approach based on the concept of comonotonicity. We derive convex bounds that can be used to estimate the provision to be set up at a specified time in future, to ensure that, after having paid all liabilities up to that moment, all liabilities from that moment on can be fulfilled, with a high probability.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 235, Issue 10, 15 March 2011, Pages 3245–3256
نویسندگان
, , ,