Portfolio optimization under Solvency II: a multi-objective approach incorporating market views and real-world constraints

DOI10.1007/s10203-021-00320-3zbMath1470.91239OpenAlexW3128946013MaRDI QIDQ2044823

Marco Di Francesco

Publication date: 10 August 2021

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-021-00320-3

zbMATH Keywords

portfolio theorysolvency IImulti-objective evolution algorithmnon-life insurance companyreal-world constraints

Mathematics Subject Classification ID

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

Uses Software

• NMOF

Cites Work

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• A mean-absolute deviation-skewness portfolio optimization model
• An efficient constraint handling method for genetic algorithms
• Empirical properties of asset returns: stylized facts and statistical issues
• Safety First and the Holding of Assets

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