Dächert, Kerstin; Grindel, Ria; Leoff, Elisabeth; … - In: OR Spectrum 44 (2021) 2, pp. 349-373
In this paper, we consider the strategic asset allocation of an insurance company. This task can be seen as a special case of portfolio optimization. In the 1950s, Markowitz proposed to formulate portfolio optimization as a bicriteria optimization problem considering risk and return as...