Name
Title | ||
|---|---|---|
Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan. |
Abstract | ||
|---|---|---|
•S-shaped utility maximization with applications in defined contribution pension investment.•Value at Risk constraint and closed convex cone control constraint.•Concavification of discontinuous non-concave function and dual control method.•Closed form optimal wealth process and trading strategies. |
Year | DOI | Venue |
|---|---|---|
2020 | 10.1016/j.ejor.2019.08.034 | European Journal of Operational Research |
Keywords | Field | DocType |
Control,S-shaped utility,Trading constraint,Value-at-Risk constraint,Defined contribution pension plan | Loss aversion,Mathematical optimization,Pension,Lagrange multiplier,State variable,Investment management,Value at risk,Mathematics | Journal |
Volume | Issue | ISSN |
281 | 2 | 0377-2217 |
Citations | PageRank | References |
0 | 0.34 | 0 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Yinghui Dong | 1 | 0 | 0.34 |
| Harry Zheng | 2 | 28 | 9.30 |