2026-07-072026-07-07http://salesiana.dossiersoluciones.com/handle/123456789/78859A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its variance and on annual ROE's. Existence of a unique solution is proved and a Lagrangian formalism is given. An effective method for solving the Euler-Lagrange equations is developed. The approximate determination of the multipliers is discussed. This basic model is an important building block for more complete models.31 pages, LaTeX2eOptimization and ControlProbability90Axx; 49xx; 60Gxxtext