Capital requirements and optimal investment with solvency probability constraints

DOI10.1093/imaman/dpt029zbMath1433.91125OpenAlexW3123461141MaRDI QIDQ5382669

Yuriy Zinchenko, Alexandru V. Asimit, Tak Kuen Siu, Alexandru M. Badescu

Publication date: 18 June 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/13146/1/Asimit_Badescu_Siu_Zinchenko_2015_IMA%20J%20Management%20Math_SSRN_version.pdf

zbMATH Keywords

second-order cone programmingoptimal investmentrisk capitalchance constrained programmingSolvency IIportfolio efficient frontier

Mathematics Subject Classification ID

Semidefinite programming (90C22) Portfolio theory (91G10) Actuarial mathematics (91G05)

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