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Portfolio optimization under solvency II: a multi-objective approach incorporating market views and real-world constraints |
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| Authors: | Di Francesco Marco |
| Institution: | 1.UnipolSai Assicurazioni, via Stalingrado 45, Bologna, Italy ; |
| Abstract: | Decisions in Economics and Finance - We propose a new approach to handle the problem of portfolio optimization for non-life insurance company incorporating the solvency capital requirement (SCR),... |
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