Optimal investment strategy for the DC pension fund with Stein-Stein volatility and dynamic VaR constraint (Q5210353)
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scientific article; zbMATH DE number 7156726
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| English | Optimal investment strategy for the DC pension fund with Stein-Stein volatility and dynamic VaR constraint |
scientific article; zbMATH DE number 7156726 |
Statements
22 January 2020
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DC pension fund
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Stein-Stein volatility
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Hamilton-Jacobi-Bellman equation
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VaR constraint
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0.8627687692642212
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0.8425042629241943
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0.8358765244483948
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0.8325334787368774
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