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A simulation approach for creating an optimal investment portfolio for retirees

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Published in:ProQuest Dissertations and Theses (1998)
Main Author: Gapinski, Bogdan Rafal
Published:
ProQuest Dissertations & Theses
Subjects:
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
Online Access:Citation/Abstract
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Abstract: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
Source:ABI/INFORM Global