Optimal management of DC pension plan under loss aversion and value-at-risk constraints
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Publication:344000
DOI10.1016/j.insmatheco.2016.05.014zbMath1369.91197OpenAlexW2412841086MaRDI QIDQ344000
Publication date: 21 November 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.05.014
loss aversionvalue-at-riskstochastic interest rateportfolio choicedefined contribution pension planmartingale methodstochastic contribution rate
Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Portfolio theory (91G10)
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