Optimal investment strategies: A short survey of classical and recent results

Peter Holm Nielsen, Danemark

We give an account of some important results on portfolio optimization from the financial literature with focus on applications in life and pension insurance. We state some general rules of thumb and point out some widespread misconceptions. ~
Date: 1 June - Time: 14:15 to 15:45 - Room: 241
Theme: 1.B. Solvency measurements and asset-liability management