Optimal investment of DC pension plan under a joint VaR-ES constraint

Optimal investment of DC pension plan under a joint VaR-ES constraint

In this paper, we investigated an optimal investment problem of a defined contribution (DC) pension plan under a joint Value-at-Risk (VaR) and an expected shortfall (ES) constraint. By using a martingale method, we transformed a dynamic optimization problem to a static pointwise optimization problem...

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Bibliographic Details
Main Authors: Yinghui Dong, Chengjin Tang, Chunrong Hua
Format: Article
Language:English
Published: AIMS Press 2024-01-01
Series:AIMS Mathematics
Subjects:
dc pension plan
var-es constraint
martingale approach
concavification
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2024104?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.2024104?viewType=HTML

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