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Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk

Vyncke, D.; Goovaerts, M.; Dhaene, J.; Vanduffel, S. - In: Review of Business and Economics L (2005) 1, pp. 103-114

We consider a continuous-time Markowitz type portfolio problem that consists of minimizing the discounted cost of a given cash-fl ow 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...

Persistent link: https://www.econbiz.de/10008684337

Comonotonic approximations for optimal portfolio selection problems

Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J.; Kaas, R. - 2004

Persistent link: https://www.econbiz.de/10002035167

Comonotonic approximations for optimal portfolio selection problems

Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J.; Kaas, R. - In: The journal of risk and insurance : the journal of the … 72 (2005) 2, pp. 253-300

Persistent link: https://www.econbiz.de/10002968418

An accurate analytical approximation for the price of a European-style arithmetic Asian option

Vyncke, David; Goovaerts, Marc J.; Dhaene, Jan - 2003

Persistent link: https://www.econbiz.de/10001769796

Optimal portfolio selection for cash-flows with bounded capital at risk

Vyncke, David; Goovaerts, Marc J.; Dhaene, Jan; Van … - In: Tijdschrift voor economie en management 50 (2005) 1, pp. 103-114

Persistent link: https://www.econbiz.de/10002749749

Financial bounds for insurance claims

Bernard, Carole; Vanduffel, Steven - In: The journal of risk and insurance : the journal of the … 81 (2014) 1, pp. 27-56

Persistent link: https://www.econbiz.de/10010340238

A note on the suboptimality of path-dependent pay-offs in Lévy markets

Vanduffel, Steven; Chernih, Andrew; Maj, Matheusz; … - In: Applied mathematical finance 16 (2009) 3/4, pp. 315-330

Persistent link: https://www.econbiz.de/10003916188

On the suboptimality of path-dependent pay-offs in Lévy markets

Vanduffel, Steven; Chernih, Andrew; Schoutens, Wim - 2007

Persistent link: https://www.econbiz.de/10003613733

Self exciting threshold interest rates models

Decamps, Marc; Goovaerts, Marc J.; Schoutens, Wim - 2005

Persistent link: https://www.econbiz.de/10002724001

Self exciting threshold interest rates models

Decamps, Marc; Goovaerts, Marc J.; Schoutens, Wim - In: International journal of theoretical and applied finance 9 (2006) 7, pp. 1093-1122

Persistent link: https://www.econbiz.de/10003395984

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