Optimal portfolio selection for cash-flows with bounded capital at risk
AbstractWe 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.
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Bibliographic InfoPaper provided by Katholieke Universiteit Leuven in its series Open Access publications from Katholieke Universiteit Leuven with number urn:hdl:123456789/122846.
Date of creation: 2005
Date of revision:
Publication status: Published in Tijdschrift voor Economie en Management (2005) v.L, p.103-114
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Web page: http://www.kuleuven.be
Optimal; Optimal portfolio selection; Portfolio; Selection; Cash flow; Capital at risk; Risk;
Other versions of this item:
- D. Vyncke & M. Goovaerts & J. Dhaene & S. Vanduffel, 2005. "Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk," Review of Business and Economics, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, vol. 0(1), pages 103-114.
- Goovaerts, Marc & Dhaene, Jan & Vyncke, David & Vanduffel, Steven, 2002. "Optimal portfolio selection for cash-flows with bounded capital and risk," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/119454, Katholieke Universiteit Leuven.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kaas, R & Dhaene, Jan & Goovaerts, Marc, 2000.
"Upper and lower bounds for sums of random variables,"
Open Access publications from Katholieke Universiteit Leuven
urn:hdl:123456789/223713, Katholieke Universiteit Leuven.
- Kaas, Rob & Dhaene, Jan & Goovaerts, Marc J., 2000. "Upper and lower bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 151-168, October.
- Kaas, Robert & Dhaene, Jan & Goovaerts, Marc, 2000. "Upper and lower bounds for sums of random variables," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/101165, Katholieke Universiteit Leuven.
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