Optimal investment of DC pension plan with two VaR constraints (Q5079897)
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scientific article; zbMATH DE number 7533632
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| English | Optimal investment of DC pension plan with two VaR constraints |
scientific article; zbMATH DE number 7533632 |
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Optimal investment of DC pension plan with two VaR constraints (English)
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30 May 2022
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DC pension plan
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utility maximization
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two VaR constraints
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martingale approach
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Lagrange dual method
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concavification
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