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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; Wahl, M.; Zagst, R. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Portfolio Optimization with Wealth-Dependent Risk Constraints 
Abstract:
Regulatory risk constraints as in the European Solvency II standard formula for insurance companies may lead to wealth-dependent constraints on the investment strategy. We develop two solution approaches for portfolio optimization problems in continuous time with wealth-dependent constraint sets. In the first approach, we reduce the optimization problem to an associate problem with constraints independent of wealth and a different utility function. The associate problem is then solved using know...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Scandinavian Actuarial Journal 
Journal listet in FT50 ranking:
nein 
Year:
2021 
Key publication:
Nein 
Peer reviewed:
Ja 
Commissioned:
not commissioned 
Technology:
Nein 
Interdisciplinarity:
Nein 
Mission statement:
Ethics and Sustainability:
Nein