This paper develops a theoretical portfolio-based approach to find the economic capital and the optimal assets allocation. The model maximizes a generalized version of the RORAC ratio, under a zero-CVaR constraint. An efficient optimization procedure is proposed. To illustrate the theoretical developments, we give a numerical application and conduct sensitivity analysis. Capital adjustment appears to be more profitable than cash holding. This result holds irrespectively of the choice of the additional capital allocation. The risk magnitude and the initial capital level influence the capital adjustment decisions.Keywords: Portfolio selection; Risk management; Stochastic fractional programming; Monte Carlo simulation ; Non-life insurance.JEL: C61; D81; G11; G28; G3
The Performance of Islamic Investment: Evidence from the Dow Jones Islamic Indexes Volatility Strategies for Global and Country Specific European Investors Problem Loans in the MENA Countries: Bank Specifi c Determinants and the Role of the Business and the Institutional Environment Short Term Wealth Creation Sustainability of French Acquirers of Unlisted versus Listed Firms Financial flexibility
The Performance of Islamic Investment: Evidence from the Dow Jones Islamic Indexes Volatility Strategies for Global and Country Specific European Investors Problem Loans in the MENA Countries: Bank Specifi c Determinants and the Role of the Business and the Institutional Environment Short Term Wealth Creation Sustainability of French Acquirers of Unlisted versus Listed Firms Financial flexibility
The Performance of Islamic Investment: Evidence from the Dow Jones Islamic Indexes Volatility Strategies for Global and Country Specific European Investors Problem Loans in the MENA Countries: Bank Specifi c Determinants and the Role of the Business and the Institutional Environment Short Term Wealth Creation Sustainability of French Acquirers of Unlisted versus Listed Firms Financial flexibility
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