Turkalj, Ivica; Assadsolimani, Mohammad; Braun, Markus; … - In: Risks : open access journal 12 (2024) 2, pp. 1-17
In this paper, we consider the inclusion of the solvency capital requirement (SCR) into portfolio optimization by the … companies (and therefore, not taken into account during portfolio optimization), employing more feasible proxy models provides a …, it allows the problem to be formulated as a quadratic unconstrained binary optimization (QUBO), which benefits from the …