Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; … - In: Journal of Risk & Insurance 72 (2005) 2, pp. 253-300
We investigate multiperiod portfolio selection problems in a Black and 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...