Comonotonic Approximations for Optimal Portfolio Selection Problems-Reference-Cited by-同舟云学术

Comonotonic Approximations for Optimal Portfolio Selection Problems

Published:2005-06 Issue:2 Volume:72 Page:253-300
ISSN:0022-4367
Container-title:Journal of Risk Insurance
language:en
Short-container-title:J Risk & Insurance

Author:

Dhaene J.,Vanduffel S.,Goovaerts M. J.,Kaas R.,Vyncke D.

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1539-6975.2005.00123.x/fullpdf

Reference50 articles.

1. A. Ahcan, G. Darkiewicz, J. Dhaene, M. J. Goovaerts, and T. Hoedemakers , 2004 , Optimal Portfolio Selection in Case of Random Liabilities (forthcoming).

2. Static Hedging of Asian Options under Lévy Models

3. T. Bjork , 1998 ,Arbitrage Theory in Continuous Time(Oxford: Oxford University Press), p. 311 .

4. The Pricing of Options and Corporate Liabilities

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