Search Results - subject:"Terminal wealth"

Portfolio optimization : not necessarily concave utility and constraints on wealth and allocation

Escobar, Marcos; Kschonnek, Michel; Zagst, Rudi - In: Mathematical methods of operations research : ZOR 95 (2022) 1, pp. 101-140

Persistent link: https://www.econbiz.de/10013184223

Risk averse fractional trading using the current drawdown

Maier-Paape, Stanislaus - In: Journal of risk 20 (2017/2018) 5, pp. 117-141

Persistent link: https://www.econbiz.de/10011914678

Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets

Alexeev, Vitali; Tapon, Francis - School of Economics and Finance, Tasmanian School of … - 2013

In this study of five developed markets we analyse the sizes of portfolios required for achieving most diversication benefits. Using daily data, we trace the year-to-year dynamic of these sizes between 1975 and 2011. We compute several widely-accepted measures of risk and use an extreme risk...

Persistent link: https://www.econbiz.de/10010717678

Optimal portfolio selection for general provisioning and terminal wealth problems

Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc J. - 2009

Persistent link: https://www.econbiz.de/10009126893

Essays on asset allocation strategies for defined contribution plans

Basu, Anup K. - 2008

Asset allocation is the most influential factor driving investment performance. While researchers have made substantial progress in the field of asset allocation since the introduction of mean-variance framework by Markowitz, there is little agreement about appropriate portfolio choice for...

Persistent link: https://www.econbiz.de/10009437693

Modeling liquidity effects in discrete time

Cetin, Umut; Rogers, L.C.G. - London School of Economics (LSE) - 2007

We study optimal portfolio choices for an agent with the aim of maximising utility from terminal wealth within a market … of the optimal terminal wealth serves as a change of measure to turn the marginal price process of the optimal strategy …

Persistent link: https://www.econbiz.de/10010746632

Convex order approximations in the case of cash flows of mixed signs

Dhaene, Jan; Goovaerts, Marc; Vanmaele, Michèle; Van … - In: Insurance: Mathematics and Economics 51 (2012) 2, pp. 249-256

or terminal wealth. In this paper, a correction and further clarification of the reasoning of Van Weert et al. (2010) are … given, thereby significantly expanding the scope of problems and cash flow patterns for which the terminal wealth or initial … obligations to a saving and terminal wealth problem by inverting the time axis. …

Persistent link: https://www.econbiz.de/10011046662

Terminal wealth problem under uncertainty: how to choose the right asset mix in case of dependent random payments

Ahcan, Ales; Darkiewicz-Moniuszko, Grzegorz; … - In: International Journal of Sustainable Economy 3 (2011) 3, pp. 294-311

approximating sequence adequately describes the distribution function of terminal wealth, thus also making solutions accurate in …

Persistent link: https://www.econbiz.de/10009352660

The Impact of Real Estate on the Terminal Wealth of the UK Mixed-Asset Portfolio

Byrne, Peter; Lee, Stephen - Henley Business School, University of Reading - 2003

funds, who are more concerned the terminal wealth (TW) of their investments and the variability of this wealth, the terminal … wealth standard deviation (TWSD), since it is from the TW of their investment portfolio that policyholders and pensioners …

Persistent link: https://www.econbiz.de/10008546778

Optimal portfolio selection for general provisioning and terminal wealth problems

Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc J. - In: Insurance / Mathematics & economics 47 (2010) 1, pp. 90-97

Persistent link: https://www.econbiz.de/10003985403