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  • Search: subject:"approximating methods"
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approximate solutions 1 approximating methods 1 asset mix 1 dependent payments 1 distribution function 1 financial models 1 investor preferences 1 random payments 1 retirement 1 risk measurement 1 risk measures 1 savings 1 simulation times 1 sustainability 1 sustainable development 1 sustainable economy 1 terminal wealth 1 uncertainty 1 utility defined preferences 1 value at risk 1 wealth problems 1
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Ahcan, Ales 1 Darkiewicz-Moniuszko, Grzegorz 1 Hoedemakers, Tom 1
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International Journal of Sustainable Economy 1
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Terminal wealth problem under uncertainty: how to choose the right asset mix in case of dependent random payments
Ahcan, Ales; Darkiewicz-Moniuszko, Grzegorz; … - In: International Journal of Sustainable Economy 3 (2011) 3, pp. 294-311
We develop an approximate solution method for a classical saving for retirement problem in case of random payment scheme and value at risk (VaR) defined investor preferences. As the results of our numerical calculations indicate our approximate approach provides greater accuracy and reduces...
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