Koen Van Weert

Learn More
The aim of this paper is to justify the use of constant mix investment strategies as an approximation for periodically rebalanced investment strategies. In Dhaene et al. (2005), general optimization problems are solved in a lognormal framework by deriving convex order bounds based on comonotonicity. The multi-period optimal portfolio selection problems(More)
In Dhaene et al. (2005), multiperiod portfolio selection problems are discussed, using an analytical approach to find optimal constant mix investment strategies in a provisioning or savings context. In this paper we extend some of these results, investigating some specific, real-life situations. The problems that we consider in the …rst section of this(More)
In this paper we discuss multiperiod portfolio selection problems related to a speci…c 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 based on the concept of comonotonicity. We derive convex bounds(More)
This paper addresses the issue of lifetime ruin, which is defined as running out of money before death. Taking into account the random nature of the remaining lifetime, we discuss how a retiree should invest in order to avoid lifetime ruin. We also discuss the conditional time of lifetime ruin and the notion of bequest or wealth at death. Using analytical(More)
In this paper we discuss multiperiod portfolio selection problems related to a speci…c 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 based on the concept of comonotonicity. We derive convex bounds(More)
In Van Weert et al. (2010), results are obtained showing that, when allowing some of the cash flows to be negative, convex order lower bound approximations can still be used to solve general investment problems in a context of provisioning or terminal wealth. In this paper, a correction and further clarification of the reasoning of Van Weert et al. (2010)(More)
  • 1