Optimal asset allocation for institutional investors/Allocation optimale de portefeuille pour des investisseurs institutionnels
In this work we contribute to the literature about the optimal asset allocation in continuous-time. In particular, we consider the problem of maximising the expected utility of the investor's final wealth over a finite time horizon. We develop a suitable framework in the dynamic stochastic opti...
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| Format: | Others |
| Language: | en |
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Universite catholique de Louvain
2003
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| Online Access: | http://edoc.bib.ucl.ac.be:81/ETD-db/collection/available/BelnUcetd-05262003-123752/ |