A simulation approach for creating an optimal investment portfolio for retirees

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Detalles Bibliográficos
Publicado en:	ProQuest Dissertations and Theses (1998)
Autor principal:	Gapinski, Bogdan Rafal
Publicado:	ProQuest Dissertations & Theses
Materias:	Finance Mathematics Studies Simulation Retirees Portfolio management Stock exchanges Standard deviation Calculus Monte Carlo simulation Investments Random variables Copyright Computer simulation Probability Stochastic models Algebra Asset allocation Interest rates Women Equity Rates of return Stock prices Brownian motion Investors
Acceso en línea:	Citation/Abstract Full Text - PDF
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Descripción
Resumen:	In this thesis I study the question how a person who has just retired should allocate his investment between a low risk, low return asset and high risk, high return assets. I present basic theory of stochastic processes and derive a mathematical model for optimizing asset allocation, develop a computer simulation and discuss several numerical examples using the US stock market data and mortality tables.
ISBN:	9780599042681
Fuente:	ABI/INFORM Global