Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan (Q2333010)
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scientific article; zbMATH DE number 7127007
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| English | Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan |
scientific article; zbMATH DE number 7127007 |
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Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan (English)
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6 November 2019
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control
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S-shaped utility
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trading constraint
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value-at-risk constraint
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defined contribution pension plan
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0.8896761
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0.87893355
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0.87847126
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0.87723565
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0.8771461
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0.87490445
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