Capital requirements and optimal investment with solvency probability constraints
Alexandru V. Asimit (Cass Business School, City University, London), Alexandru M. Badescu (Department of Mathematics and Statistics, University of Calgary, Calgary, Canada), Tak Kuen Siu (Cass Business School, City University, London) and Yuriy Zinchenko (Department of Mathematics and Statistics, University of Calgary, Calgary, Canada)
| Year of publication: |
October 2015
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|---|---|
| Authors: | Asimit, Alexandru V. ; Badescu, Alexandru M. ; Siu, Tak Kuen ; Zinchenko, Yuriy |
| Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 26.2015, 4, p. 345-375
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| Subject: | optimal investment | portfolio efficient frontier | risk capital | chance constrained programming | Solvency II | second-order cone programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Kapitalbedarf | Capital requirements | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpt029 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011515664