Optimal management of DC pension fund under the relative performance ratio and VaR constraint
Guohui Guan, Zongxia Liang, Yi Xia
| Year of publication: |
2023
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|---|---|
| Authors: | Guan, Guohui ; Liang, Zongxia ; Xia, Yi |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 305.2023, 2 (1.3.), p. 868-886
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| Subject: | Risk management | Performance ratio | Value-at-Risk constraint | Martingale method | DC pension plan | Pensionskasse | Pension fund | Risikomaß | Risk measure | Risikomanagement | Portfolio-Management | Portfolio selection | Theorie | Theory | Martingal | Martingale |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2022.06.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013479338