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

2013 ◽  
Author(s):  
Alexander Braun ◽  
Hato Schmeiser ◽  
Florian Schreiber
Keyword(s):  
Portfolio Optimization ◽  
Market Risk ◽  
Solvency Ii ◽  
Standard Formula

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

2015 ◽  
Vol 84 (1) ◽  
pp. 177-207 ◽  
Author(s):  
Alexander Braun ◽  
Hato Schmeiser ◽  
Florian Schreiber
Keyword(s):  
Portfolio Optimization ◽  
Market Risk ◽  
Solvency Ii ◽  
Standard Formula

Portfolio optimization under Solvency II

2018 ◽  
Vol 281 (1-2) ◽  
pp. 193-227 ◽  
Author(s):  
Marcos Escobar ◽  
Paul Kriebel ◽  
Markus Wahl ◽  
Rudi Zagst
Keyword(s):  
Portfolio Optimization ◽  
Solvency Ii

scholarly journals The Solvency II Standard Formula, Linear Geometry, and Diversification

2016 ◽  
Author(s):  
Joachim Paulusch
Keyword(s):  
Convex Cone ◽  
Risk Measure ◽  
Positive Semidefinite ◽  
Solvency Ii ◽  
Positive Semidefinite Matrix ◽  
Lp Norm ◽  
Standard Formula ◽  
Risk Aggregation ◽  
Semidefinite Matrix ◽  
Linear Geometry

We introduce the notions of monotony, subadditivity, and homogeneity for functions defined on a convex cone, call functions with these properties diversification functions and obtain the respective properties for the risk aggregation given by such a function. Examples of diversification functions are given by seminorms, which are monotone on the convex cone of non-negative vectors. Any Lp norm has this property, and any scalar product given by a non-negative positive semidefinite matrix as well. In particular, the Standard Formula is a diversification function, hence a risk measure that preserves homogeneity, subadditivity, and convexity.

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