Sujith Asanga

University of Calgary - Department of Mathematics and Statistics

University of Calgary

Calgary, Alberta

Canada

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Portfolio Optimization under Solvency Constraints: A Dynamical Approach

North American Actuarial Journal, 2014, Volume 18, Issue 3, p.394-416
Number of pages: 36 Posted: 02 Mar 2013 Last Revised: 17 Nov 2014
University of Calgary - Department of Mathematics and Statistics, Cass Business School, City, University of London, University of Calgary and City University London - Faculty of Actuarial Science
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Abstract:

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Portfolio optimization, Capital requirements, Solvency constraint, Multivariate GARCH, Double rolling window