We revisit the problem of minimizing a separable convex function with a linear constraint and box constraints. This optimization problem arises naturally in many applications in economics, insurance, and finance. Existing literature exclusively tackles this problem by using the traditional...

We investigate multiperiod portfolio selection problems in a Black & Scholes type market where a basket of 1 riskfree and m risky securities are traded continuously. We look for the optimal allocation of wealth within the class of 'constant mix' portfolios.First, we consider the portfolio...

In this paper, we investigate an optimization problem related to super-replicating strategies for European-type call options written on a weighted sum of asset prices, following the initial approach in Chen et al. (2008). Three issues are investigated. The first issue is the (non-)uniqueness of...

In this paper we discuss multiperiod portfolio selection problems related to a specific provisioning problem. Our results are an extension of Dhaene et al. (2005), where optimal constant mix investment strategies are obtained in a provisioning and savings context, using an analytical approach...

We revisit the problem of minimizing a separable convex function with a linear constraint and box constraints. This optimization problem arises naturally in many applications in economics, insurance, and finance. Existing literature exclusively tackles this problem by using the traditional...