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The Handbook of Hybrid Securities : Strategies, Pricing and Risk Management.

Schoutens, Wim - 2014 - 1st ed.

"A masterful presentation of the many risk exposures embedded in the fast growing world of rate, credit and equity hybrid products by leading scholars. The handbook is an essential addition for those venturing into the intricate details of pricing and risk managing the complexities of cross...

Persistent link: https://www.econbiz.de/10012684127

Financie͏̈le portefeuilleverzekering of financie͏̈le hocus pocus?

Van Hulle, Cynthia M. - In: Tijdschrift voor economie en management 34 (1989) 3, pp. 317-326

Persistent link: https://www.econbiz.de/10001072544

International portfolio choice and home bias : the effects of commodity market imperfections

Sercu, Piet (contributor); Uppal, Raman (contributor); … - 1999 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001777133

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

Closed-form approximations for constant continuous annuities

Vanduffel, Steven; Dhaene, Jan; Valdez, Emiliano - 2005

Persistent link: https://www.econbiz.de/10002723917

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

Comonotic Approximations for a Generalized Provisioning Problem with Application to Optimal Portfolio Selection

Van Weert, Koen - 2010

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...

Persistent link: https://www.econbiz.de/10013148976