Quadratic unconstrained binary optimization approach for incorporating solvency capital into portfolio optimization
Year of publication: |
2024
|
---|---|
Authors: | Turkalj, Ivica ; Assadsolimani, Mohammad ; Braun, Markus ; Halffmann, Pascal ; Hegemann, Niklas ; Kerstan, Sven ; Maciejewski, Janik ; Sharma, Shivam ; Zhou, Yuanheng |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 12.2024, 2, Art.-No. 23, p. 1-17
|
Subject: | portfolio optimization | proxy modeling | quadratic unconstrained binary optimization | solvency II | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming |
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