EQUITY ALLOCATION AND PORTFOLIO SELECTION IN INSURANCE: A SIMPLIFIED PORTFOLIO MODEL
نویسندگان
چکیده
منابع مشابه
Equity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model
A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its variance and on annual ROE’s. Existence of a unique solution is proved and a Lagrangian formalism is given. An effective method for solving the Euler-Lagrange e...
متن کاملEquity Allocation and Portfolio Selection in Insurance
A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has solutions respecting constraints on ROE’s, ruin probabilities and market shares currently in practical u...
متن کاملA Fuzzy Goal Programming Model for Efficient Portfolio Selection.
This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is propo...
متن کاملResource allocation neural network in portfolio selection
Portfolio selection is a resource allocation problem in a finance market. The investor’s asset optimization requires the distribution of a set of capital (resources) among a set of entities (assets) with the trade-off between risk and return. The ANN with nonlinear capability is proven to solve a large-scale complex problem effectively. It is suitable to solve NP-hard resource allocation proble...
متن کاملOptimization of Dynamic Portfolio Insurance Model
This paper establishes a dynamic portfolio insurance model under the condition of continuous time, based on Meton’s optimal investment-consumption model, which combined the method of replicating dynamic synthetic put option using risk-free and risk assets. And it transfers the problem of investor’s individual inter-temporal dynamic portfolio insurance decision into a problem of static utility m...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2002
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024902001328