Stratégie d'investissement guidé par les passifs et immunisation de portefeuille : une approche dynamique

Nevertheless, when a graph G has more than one maximal sequence corresponding to partitions of its vertex set into cliques, the optimal solution for the cluster deletion problem of

Imaging costs involving vehicle, sensors, associated software and personnel in field experiments or in a robotized platform, for two scenarios of demand for phenotyping offer

Recall that the binomial model or CRR (Cox-Ross-Rubinstein) is a finite market model with finite time horizon T < ∞ and two assets: the bond B t and a stock with spot S t.. Is

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Here, we are concerned with the problem of maximization of expected power utility of both terminal wealth and consumption, in a market with investment opportunities in a savings

In the context of Markowitz portfolio selection problem, this paper develops a possibilistic mean VaR model with multi assets.. Furthermore, through the introduction of a set

We illustrate in this section the valuation of the European call option on the maximum of the instantaneous rate in the one factor affine mode bu using its explicite formula of

We examine the effect of fees on an example of a risky asset with a binary return distribution and show that the fees may give rise to an optimal period of portfolio rebalancing..