Optimal investment of DC pension plan with two VaR constraints
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DOI: 10.1080/03610926.2020.1767141
Abstract: Abstract In this paper, we investigate an optimal investment problem under two value-at-risk (VaR) constraints faced by a defined contribution (DC) pension fund manager. We apply a concavification technique and a Lagrange dual method to… read more here.
Keywords: optimal investment; pension; var constraints; var ... See more keywords