Portfolio optimization with wealth-dependent risk constraints

DOI10.1080/03461238.2021.1962962zbMath1490.91173OpenAlexW3048305878MaRDI QIDQ5073019

Markus Wahl, Marcos Escobar Anel, Rudi Zagst

Publication date: 5 May 2022

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2021.1962962

zbMATH Keywords

asset liability managementSolvency IIregulatory constraintsconvex duality theory for portfolio constraints

Mathematics Subject Classification ID

Portfolio theory (91G10) Actuarial mathematics (91G05)

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