Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
type: Item
instance of: scholarly article
title: Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
zbMATH Open document ID: 1431.91358
author: Yinghui Dong
author: Harry Zheng
published in: European Journal of Operational Research
publication date: 2019-11-06T00:00:00Z
full work available at URL: http://hdl.handle.net/10044/1/73625
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7127007
zbMATH Keywords: control
zbMATH Keywords: S-shaped utility
zbMATH Keywords: trading constraint
zbMATH Keywords: value-at-risk constraint
zbMATH Keywords: defined contribution pension plan
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2970614095
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Wikidata QID: Q127311683
DOI: 10.1016/J.EJOR.2019.08.034
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description: scientific article; zbMATH DE number 7127007