Jan 28, 2012
Buy-And-Hold Strategies And Comonotonic Approximations
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, the distribution function of final wealth cannot be determined analytically for any realistic model. By calculating lower bounds in the convex order sense, we consider approximations that reduce the multivariate randomness to univariate randomness. 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 Expec-tation of the distribution function of final wealth. Read the rest of this entry »
