Work

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

Year: 2005

Type: article

Abstract: We consider a continuous-time Markowitz type portfolio problem that consists of minimizing the discounted cost of a given cash-flow 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 that avoid the classical simulation approach for this type of problems. The problem is easily extended to cope with more general discount processes.

Source: RePEc: Research Papers in Economics

Authors: David Vyncke, Marc Goovaerts, Jan Dhaene, Steven Vanduffel

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2261557678

FWCI: 0.519

Cites: 132

Cited by: 1

Related to: 10