A simulation approach for creating an optimal investment portfolio for retirees

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Dades bibliogràfiques
Publicat a:	ProQuest Dissertations and Theses (1998)
Autor principal:	Gapinski, Bogdan Rafal
Publicat:	ProQuest Dissertations & Theses
Matèries:	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
Accés en línia:	Citation/Abstract Full Text - PDF
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Descripció
Resum:	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
Font:	ABI/INFORM Global