| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077041 | Insurance: Mathematics and Economics | 2011 | 11 Pages |
Abstract
The resulting strategies are optimal, in the sense that they can be shown to outperform all other strategies of their type when no asset allocation constraints are imposed. Where such constraints are imposed, the strategies may be demonstrated to be almost optimal, and dramatically more effective than static strategies.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Andrew P. Leung,