Portfolio optimization with wealth-dependent risk constraints
Marcos Escobar-Anel, Markus Wahl and Rudi Zagst
| Year of publication: |
2022
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|---|---|
| Authors: | Escobar, Marcos ; Wahl, Markus ; Zagst, Rudi |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2022.2022, 3, p. 244-268
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| Subject: | Asset liability management | convex duality theory for portfolio constraints | regulatory constraints | Solvency II | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2021.1962962 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013370501