Space-time diversification: Which dimension is better?

MA Milevsky - SSB, 1997‏ - papers.ssrn.com
There is much discussion in the academic and practitioner literature about the appropriate
number of stocks that make up a well diversified investment portfolio. Likewise, there has …

Comonotonic approximations for the probability of lifetime ruin

K Van Weert, J Dhaene, M Goovaerts - Journal of Pension …, 2012‏ - cambridge.org
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 …

[PDF][PDF] A justification of constant mix investment strategies

K Van Weert - North American Actuarial Journal, 2010‏ - Citeseer
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) …