Together with R+V Lebensversicherung AG, we have implemented a new approach to strategic asset allocation. On the one hand, this takes into account the solvency ratio as part of the Solvency II regime. On the other hand, our approach allows to consider other relevant portfolio characteristics.
For a given set of portfolio characteristics (criteria), we calculate efficient portfolio allocations that cannot be further improved in any of the criteria without deteriorating in another criterion. In doing so, we ensure that the efficient space is covered as evenly as possible.
In a second step, we can further restrict the decisive criteria and thus examine certain regions of the efficient space more closely with a further optimization. This multi-stage approach enables precise solutions to be found almost in real time, which were previously only determined through lengthy trial and error.