Capital requirements and optimal investment with solvency probability constraints (Q5382669)
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scientific article; zbMATH DE number 7067500
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Capital requirements and optimal investment with solvency probability constraints |
scientific article; zbMATH DE number 7067500 |
Statements
Capital requirements and optimal investment with solvency probability constraints (English)
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18 June 2019
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optimal investment
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portfolio efficient frontier
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risk capital
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chance constrained programming
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Solvency II
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second-order cone programming
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