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Theory

Dhaene, Jan; Denuit, Michel; Goovaerts, Marc J.; Kaas, R.; … - 2002

Persistent link: https://www.econbiz.de/10001655663

Applications

Dhaene, Jan; Denuit, Michel; Goovaerts, Marc J.; Kaas, R.; … - 2002

Persistent link: https://www.econbiz.de/10001655664

Comonotonic approximations for optimal portfolio selection problems

Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J.; Kaas, R. - 2004

Persistent link: https://www.econbiz.de/10002035167

Comonotonic approximations for optimal portfolio selection problems

Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J.; Kaas, R. - In: The journal of risk and insurance : the journal of the … 72 (2005) 2, pp. 253-300

Persistent link: https://www.econbiz.de/10002968418

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

Vyncke, David; Goovaerts, Marc J.; Dhaene, Jan; Van … - In: Tijdschrift voor economie en management 50 (2005) 1, pp. 103-114

Persistent link: https://www.econbiz.de/10002749749

Comonotonic Approximations for Optimal Portfolio Selection Problems

Dhaene, Jan - 2015

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...

Persistent link: https://www.econbiz.de/10013039513

Increases in risk and demand for risky asset

Chateauneuf, Alain; Lakhnati, G. - 2014

Persistent link: https://www.econbiz.de/10010432123

Increases in risk and demand for a risky asset

Chateauneuf, Alain; Lakhnati, G. - In: Mathematical social sciences 75 (2015), pp. 44-48

Persistent link: https://www.econbiz.de/10011438567

Submodular financial markets with frictions

Chateauneuf, Alain; Cornet, Bernard - In: Economic theory 73 (2022) 2/3, pp. 721-744

Persistent link: https://www.econbiz.de/10013277391