A new approach to Markowitz portfolio optimization using ruin-based outcomes
A. Hernández-Pacheco and R. Carcache
Joint Sections Colloquium, International Actuarial Association, (2021).
A probability of ruin approach to optimize pension fund investments
A. Hernández-Pacheco, A. D. Egídio dos Reis and A. Bergel
Joint Sections Colloquium, International Actuarial Association, (2021).