Agnew, N. H.; Agnew, R. A.; Rasmussen, J.; Smith, K. R. - In: Management Science 15 (1969) 10, pp. 512-512
The problem of portfolio selection is discussed with special emphasis on the casualty insurance firm. A single period optimisation model is developed in which expected return is maximized subject to a chance constraint requiring return to be greater than some lower bound with a stipulated...