A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its variance and on annual ROE's. Existence of a unique...

We propose a novel portfolio selection approach that manages to ease some of the problems that characterise standard expected utility maximisation. The optimal portfolio is no longer defined as the extremum of a suitably chosen utility function: the latter, instead, is reinterpreted as the...

This paper investigates the diversification prospects which may be reaped when investing in a mixture of emerging and developed market assets. Given that emerging markets are somewhat distinct from developed ones, one may expect significant diversification potential and therefore risk reduction....