Buy-and-Hold Strategies and Comonotonic Approximations

Jesus Marin-Solano, O. Roch (Universitat de Barcelona), Jan Dhaene, C. Ribas (Universitat de Barcelona), M. Bosch-Princep (Universitat de Barcelona) and Steven Vanduffel ()

No 213, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: We investigate optimal buy-and-hold strategies for terminal wealth problems in a multi-period framework. As terminal wealth is a sum of dependent random variables, each of these variables corresponding to an amount of capital that has been invested in a particular asset at a particular date, we first consider approximations that reduce the multivariate randomness to univariate randomness. Next, these approximations are used to determine buy-and-hold strategies that optimize, for a given probability level, the Value at Risk and the Conditional Left Tail Expectation of the distribution function of final wealth. This paper complements Dhaene et al. (2005), where the case of continuous rebalancing is considered.

JEL-codes: C61 C63 G11 (search for similar items in EconPapers)
Pages: 0 pages
Date: 2009
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (1)

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