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...

We investigate the influence of the dependence between random losses on the shortfall and on the diversification benefit that arises from merging these losses.We prove that increasing the dependence between losses, expressed in terms of correlation order, has an increasing effect on the...

Yaari's dual theory of choice is the natural counterpart of expected utility theory. While the optimal payoff choice for an expected utility maximizer is well studied in the literature, substantially less is known about the optimal payoff for a Yaari investor. In the first part of the paper, we...