Optimal investment with S-shaped utility and trading and Value at Risk constraints : an application to defined contribution pension plan
Yinghui Dong, Harry Zheng
| Year of publication: |
2020
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|---|---|
| Authors: | Dong, Yinghui ; Zheng, Harry |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 281.2020, 2 (1.3.), p. 341-356
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| Subject: | Control | Defined contribution pension plan | S-shaped utility | Trading constraint | Value-at-Risk constraint | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory | Pensionskasse | Pension fund | Betriebliche Altersversorgung | Occupational pension plan | Nutzen | Utility | Altersvorsorge | Retirement provision |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2019.08.034 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012153681