Maximilian Adelmann

University of Zurich, Students

PhD Candidate

Zurich

Switzerland

University of Zurich - Department of Business Administration

Rämistrasse 71

Zurich, CH-8006

Switzerland

SCHOLARLY PAPERS

2

DOWNLOADS

458

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry

Swiss Finance Institute Research Paper No. 16-04
Number of pages: 44 Posted: 04 Feb 2016
University of Zurich, Students, Zurich Insurance Group, University of Zurich - Institute of Business Administration and University of Zurich
Downloads 248 (123,145)

Abstract:

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Insurance regulation; liability cash flows; linear programming; out-of-sample tests; replicating portfolios; Solvency II

2.

An Improvement of the Global Minimum Variance Portfolio Using a Black-Litterman Approach

Number of pages: 34 Posted: 15 May 2016
Maximilian Adelmann
University of Zurich, Students
Downloads 210 (144,895)

Abstract:

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Portfolio optimization, Black-Litterman model, global minimum variance portfolio, back-testing, out-of-sample tests