A simulation approach for creating an optimal investment portfolio for retirees

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Détails bibliographiques
Publié dans:	ProQuest Dissertations and Theses (1998)
Auteur principal:	Gapinski, Bogdan Rafal
Publié:	ProQuest Dissertations & Theses
Sujets:	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
Accès en ligne:	Citation/Abstract Full Text - PDF
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Description
Résumé:	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