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JCAM
2011
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13 years 3 months ago
Comonotonic 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 ...
Koen Van Weert, Jan Dhaene, Marc J. Goovaerts
ICCS
2005
Springer
14 years 6 months ago
A Fuzzy Index Tracking Portfolio Selection Model
The investment strategies can be divided into two classes: passive investment strategies and active investment strategies. An index tracking investment strategy belongs to the clas...
Yong Fang, Shouyang Wang