Optimal portfolio selection for general provisioning and terminal wealth problems
AbstractIn Dhaene etÂ al. (2005), multiperiod portfolio selection problems are discussed, using an analytical approach to find optimal constant mix investment strategies in a provisioning or a savings context. In this paper we extend some of these results, investigating some specific, real-life situations. The problems that we consider in the first section of this paper are general in the sense that they allow for liabilities that can be both positive or negative, as opposed to Dhaene etÂ al. (2005), where all liabilities have to be of the same sign. Secondly, we generalize portfolio selection problems to the case where a minimal return requirement is imposed. We derive an intuitive formula that can be used in provisioning and terminal wealth problems as a constraint on the admissible investment portfolios, in order to guarantee a minimal annualized return. We apply our results to optimal portfolio selection.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 47 (2010)
Issue (Month): 1 (August)
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Web page: http://www.elsevier.com/locate/inca/505554
IM10 Portfolio selection Comonotonicity Provisioning Terminal wealth Minimal return requirement;
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- IM1 - Health, Education, and Welfare - - - - -
- Por - Economic Systems - - - - -
- sel - - - - - -
- Com - Mathematical and Quantitative Methods - - - - -
- Pro - Economic Systems - - - - -
- Ter - - - - - -
- wea - - - - - -
- Min - Business Administration and Business Economics; Marketing; Accounting - - - - -
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