A sensitivity analysis of the impact of Cumulative Prospect Theory (CPT) parameters on a Mean/Risk efficient frontier is performed, through a simulation procedure, assuming a Multivariate Variance Gamma distribution for log-returns. The optimal investment problem for an agent with CPT...

The improvements in mortality rates have been under investigation in many studies across the 20th century, especially in developed countries. Current literature assumes that mortality indice can be forecasted independently through the model ARIMA (Autoregressive Integrated Moving Average)....

Multistage stochastic programming (in contrast to stochastic control) has found wide application in the formulation and solution of financial problems characterized by a large number of state variables and a generally low number of possible decision stages. The literature on the use of...