Optimal investment of DC pension plan with two VaR constraints

DOI10.1080/03610926.2020.1767141OpenAlexW3026831918MaRDI QIDQ5079897FDOQ5079897

Authors: Shunqing Zhu, Yinghui Dong, Sang Wu 

Publication date: 30 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1767141

zbMATH Keywords

utility maximizationconcavificationmartingale approachDC pension planLagrange dual methodtwo VaR constraints

Mathematics Subject Classification ID

Statistics (62-XX) Portfolio theory (91G10) Utility theory (91B16)

Cites Work

• An equilibrium characterization of the term structure
• Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
• Optimal management of DC pension plan under loss aversion and value-at-risk constraints
• Optimal investment for an insurer in the Lévy market: the martingale approach
• Optimal investment under VaR-regulation and minimum insurance
• Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
• Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
• Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
• Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans
• Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
• Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan

Cited In (5)

• Optimal portfolios for DC pension plans under a CEV model
• Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility
• DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION
• Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
• Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims

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