Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints
Guohui Guan, Zongxia Liang (Department of Mathematical Sciences, Tsinghua University, Beijing, China)
| Year of publication: |
July 2016
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|---|---|
| Authors: | Guan, Guohui ; Liang, Zongxia |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 69.2016, p. 224-237
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| Subject: | Defined contribution pension plan | Portfolio choice | Stochastic interest rate | Stochastic contribution rate | Loss aversion | Value-at-Risk | Martingale method | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Pensionskasse | Pension fund | Risikoaversion | Risk aversion | Stochastischer Prozess | Stochastic process | Private Altersvorsorge | Private retirement provision | Verlust | Loss | Prospect Theory | Prospect theory | Betriebliche Altersversorgung | Occupational pension plan | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.05.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011533911