An optimization portfolio based on the comonotonicity concept

In this paper, using the concept of comonotonicity a multiperiod portfolio selection problems in a Jump diffusion market is investigated. We first consider the portfolio optimization problem of an investor who want to obtain a target capital at a specific time by some investments on the predetermined times. Then, we concern another problem in which a decision maker who invests to be able to achieve a series of future consumptions or payment obligations. The optimization problems is constructed based on an accurate approximations using the concept of comonotonicity. Our analytical approach avoids simulation, and hence reduces the computing effort drastically.