Title: Optimal portfolio selection for general provisioning and terminal wealth problems
Authors: Van Weert, Koen
Dhaene, Jan
Goovaerts, Marc #
Issue Date: 2-Oct-2009
Conference: International Congress on Computational and Applied Mathematics edition:14 location:Antalya (Turkey) date:September 29 - October 2, 2009
Abstract: In Dhaene et al. (2005), multiperiod portfolio selection problems are discussed, using an analytical approach
to find optimal constant mix investment strategies in a provisioning or savings context. In this paper we
extend some of these results, investigating some specific, real-life situations. First, we generalize portfolio
selection problems to the case where a minimal return requirement is imposed. We derive an intuitive
formula that can be used as a constraint on the admissable investment portfolios, in order to guarantee a
minimal annualized return.
Determining the distribution function of a sum of random variables, describing a series of future payments,
is important when solving several problems in a general insurance or finance context. In this paper we
extend the solution of Vanduffel et al. (2005) allowing for more arbitrary cash flow patterns. We always
apply our results to optimal portfolio selection.
Publication status: published
KU Leuven publication type: IMa
Appears in Collections:Research Center Insurance, Leuven
# (joint) last author

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