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Title:

Portfolio Optimization with Wealth-Dependent Risk Constraints

Document type:
Zeitschriftenaufsatz
Author(s):
Escobar, M.; Wahl, M.; Zagst, R.
Non-TUM Co-author(s):
nein
Cooperation:
-
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:
2022
Journal issue:
Vol. 3
Pages contribution:
244-268
Fulltext / DOI:
doi:10.1080/03461238.2021.1962962
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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