From: On meeting capital requirements with a chance-constrained optimization model
Risky assets | \(\zeta _1\) | \(\zeta _2\) | \(\zeta _3\) | \(\zeta _4\) | \(\zeta _5\) |
---|---|---|---|---|---|
\(\zeta _1\) | 1 | 0.15 | 0.1 | 0.1 | 0.1 |
\(\zeta _2\) | 0.15 | 1 | 0.2 | 0.15 | 0.1 |
\(\zeta _3\) | 0.1 | 0.2 | 1 | 0.2 | 0.1 |
\(\zeta _4\) | 0.1 | 0.15 | 0.2 | 1 | 0.25 |
\(\zeta _5\) | 0.1 | 0.1 | 0.1 | 0.25 | 1 |