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
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Cites work
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Cited in
(32)- Optimal investment of DC pension plan under incentive schemes and loss aversion
- 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
- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
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- Optimal investment of DC pension plan with two VaR constraints
- Non-concave portfolio optimization with average value-at-risk
- Optimal investment of DC pension plan under loss aversion and LEL constraint
- Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory
- Optimal investment with minimum performance constraints under dynamic reference point
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- Optimal defined-contribution pension management with financial and mortality risks
- Health insurance, portfolio choice, and retirement incentives
- The importance of dynamic risk constraints for limited liability operators
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