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


  • Filip Iorgulescu

    (Academy of Economic Studies, Bucharest)


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.

Suggested Citation

  • Filip Iorgulescu, 2008. "A model for generating efficient investment portfolios for the insurance companies on the Romanian market," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 11(11(528)(s), pages 166-172, November.
  • Handle: RePEc:agr:journl:v:11(528)(supplement):y:2008:i:11(528)(supplement):p:166-172

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