Comonotonic Approximations for Optimal Portfolio Selection Problems
نویسندگان
چکیده
منابع مشابه
Comonotonic Approximations for Optimal Portfolio Selection Problems
We investigate multiperiod portfolio selection problems in a Black & Scholes type market where a basket of 1 riskfree and m risky securities are traded continuously. We look for the optimal allocation of wealth within the class of ’constant mix’ portfolios. First, we consider the portfolio selection problem of a decision maker who invests money at predetermined points in time in order to obtain...
متن کاملComonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
In this paper we discuss multiperiod portfolio selection problems related to a speci c provisioning problem. Our results are an extension of Dhaene et al. (2005), 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 provisi...
متن کاملRobust Portfolio Selection Problems
In this paper we show how to formulate and solve robust portfolio selection problems. The objective of these robust formulations is to systematically combat the sensitivity of the optimal portfolio to statistical and modeling errors in the estimates of the relevant market parameters. We introduce “uncertainty structures” for the market parameters and show that the robust portfolio selection pro...
متن کاملOptimal Smooth Portfolio Selection for An Insider
Abstract We study the optimal portfolio problem for an insider, in the case that the performance is measured in terms of the logarithm of the terminal wealth minus a term measuring the roughness and the growth of the portfolio. We give explicit solutions in some cases. Our method uses Malliavin calculus and stochastic calculus of forward integrals. We obtain new results about the enlargement of...
متن کاملOptimal Portfolio Selection using Regularization
The mean-variance principle of Markowitz (1952) for portfolio selection gives disappointing results once the mean and variance are replaced by their sample counterparts. The problem is ampli ed when the number of assets is large and the sample covariance is singular or nearly singular. In this paper, we investigate four regularization techniques to stabilize the inverse of the covariance matrix...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Risk <html_ent glyph="@amp;" ascii="&"/> Insurance
سال: 2005
ISSN: 0022-4367,1539-6975
DOI: 10.1111/j.1539-6975.2005.00123.x