A model for generating efficient investment portfolios for the insurance companies on the Romanian market

Filip Iorgulescu ()

Theoretical and Applied Economics, 2008, vol. 11(528)(supplement), issue 11(528)(supplement), 166-172

Abstract: This study proposes a model of investment portfolios selection for insurance companies on the Romanian market, taking into account the legal restrictions referring to them. In solving the problem I used the Kuhn-Tucker method applied to a portfolio consisting of four types of assets. Results indicate that insurance companies should focus their investments on shares and treasury bills, while paying less attention to deposit accounts and real estates. Moreover, the model provides an algorithm which generates efficient portfolios depending on the rate of return expected by the insurer.

Keywords: portfolio management; insurance companies; Pareto optimum; efficient portfolios, expected rate of return (search for similar items in EconPapers)
Date: 2008
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