Portfolio Optimization Under Solvency II: Implicit Constraints Imposed by the Market Risk Standard Formula

By Alexander Braun, H. Schmeiser, Florian Schreiber. 2013

75 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/bf6437e6cdbc2c4cd5f53fb6912967dcfb3e4c24