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Efficient Capital Allocation through Optimization
formulate the Capital Allocation problem as an optimization problem in which we seek the mix of business ... subject to a constraint on the Tail Value at Risk TVAR. Using the method of Lagrange multipliers, we ...- Authors: Romel G Salam
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM