Portfolio optimization with wealth-dependent risk constraints
Year of publication: |
2022
|
---|---|
Authors: | Escobar, Marcos ; Wahl, Markus ; Zagst, Rudi |
Subject: | Asset liability management | convex duality theory for portfolio constraints | regulatory constraints | Solvency II | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Liquiditätsbeschränkung | Liquidity constraint |
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