Portfolio optimization under Solvency II : a multi-objective approach incorporating market views and real-world constraints
Year of publication: |
2021
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Authors: | Di Francesco, Marco |
Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 44.2021, 1, p. 269-294
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Subject: | Portfolio theory | Solvency II | Multi-objective evolution algorithm | Real-world constraints | Non-life insurance company | Risikomodell | Risk model | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Theorie | Theory | EU-Versicherungsrecht | European insurance law |
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