- Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
- Journal of Computational and Applied Mathematics
- Volume | Issue number
- 235 | 10
- Pages (from-to)
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
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 based on the concept of comonotonicity. We derive convex bounds that can be used to estimate the provision to be set up at a specified time in future, to ensure that, after having paid all liabilities up to that moment, all liabilities from that moment on can be fulfilled, with a high probability.
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