Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
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Publication:2333010
DOI10.1016/J.EJOR.2019.08.034zbMATH Open1431.91358OpenAlexW2970614095WikidataQ127311683 ScholiaQ127311683MaRDI QIDQ2333010FDOQ2333010
Authors: Yinghui Dong, Harry Zheng 
Publication date: 6 November 2019
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/73625
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Cited In (32)
- Optimal management of DC pension fund under the relative performance ratio and VaR constraint
- Optimal reinsurance-investment with loss aversion under rough Heston model
- Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion
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