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Portfolio optimization with wealth-dependent risk constraints - MaRDI portal

Portfolio optimization with wealth-dependent risk constraints (Q5073019)

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scientific article; zbMATH DE number 7518396
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English
Portfolio optimization with wealth-dependent risk constraints
scientific article; zbMATH DE number 7518396

    Statements

    title
    Portfolio optimization with wealth-dependent risk constraints (English)
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    author
    Marcos Escobar Anel
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    Markus Wahl
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    Rudi Zagst
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    publication date
    5 May 2022
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    zbMATH Keywords
    asset liability management
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    convex duality theory for portfolio constraints
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    regulatory constraints
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    Solvency II
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    cites work
    Q3645069
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    Convex Analysis
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    Identifiers

    zbMATH DE Number
    7518396
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    OpenAlex ID
    W3048305878
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