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ICA LIVE: Workshop "Diversity of Thought #14
Italian National Actuarial Congress 2023 - Plenary Session with Frank Schiller
Italian National Actuarial Congress 2023 - Parallel Session on "Science in the Knowledge"
Italian National Actuarial Congress 2023 - Parallel Session with Lutz Wilhelmy, Daniela Martini and International Panelists
Italian National Actuarial Congress 2023 - Parallel Session with Kartina Thompson, Paola Scarabotto and International Panelists
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In this paper, we study optimal portfolio choice for an agent (e.g., a social planner) who aims to maximize a multivariate objective (e.g., an expected multivariate utility). We discuss desired properties for the multivariate objective function in order to ensure that the multivariate optimal portfolios are not comonotonic. Important potential applications, such as reducing systemic risk or estimating the cost of "constrained diversification", are examined.
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