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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Cited in
(43)- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
- Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk
- Optimal management of DC pension fund under the relative performance ratio and VaR constraint
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
- Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees
- Manage pension deficit with heterogeneous insurance
- Decrease of capital guarantees in life insurance products: can reinsurance stop it?
- Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
- Portfolio choice with illiquid asset for a loss-averse pension fund investor
- Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory
- Optimal management of DC pension plan under loss aversion and value-at-risk constraints
- Optimal investment with minimum performance constraints under dynamic reference point
- Portfolio optimization with private equity funds considering regret aversion
- Portfolio optimization with wealth-dependent risk constraints
- Optimal investment of DC pension plan with two VaR constraints
- Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion
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- Optimal reinsurance-investment with loss aversion under rough Heston model
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- Optimal investment based on relative performance and weighted utility
- Optimal management of DB pension fund under both underfunded and overfunded cases
- Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility
- Time-consistent strategies between two competitive DC pension plans with the return of premiums clauses and salary risk
- Optimal defined-contribution pension management with financial and mortality risks
- Optimal investment based on relative performance and time-varying reference point under VaR and position constraints
- Optimal investment of DC pension plan with incentive scheme and a combined VaR-ES constraint
- Dynamic derivative-based pension investment with stochastic volatility: a behavioral perspective
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