Title: Optimal portfolio selection for cash-flows with bounded capital and risk
Authors: Goovaerts, Marc
Dhaene, Jan
Vyncke, David
Vanduffel, Steven
Issue Date: 2002
Host Document: INSUR MATH ECON issue:2 pages:166-177
Conference: International Congress on Insurance: Mathematics and Economics edition:6 location:Lisbon (Portugal) date:15-17 July 2002
Abstract: We consider a continuous-time Markowitz type portfolio problem that consists of minimizing the discounted cost of a given cash-flow under the constraint of a restricted Capital at Risk. In a Black-Scholes setting, upper and lower bounds are obtained by means of simple analytical expressions that avoid the classical simulation approach for this type of problems. The problem is easily extended to cope with more general discount processes.
Publication status: published
KU Leuven publication type: IC
Appears in Collections:Research Center Insurance, Leuven

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