Individual optimal pension allocation under stochastic dominance constraints

DOI10.1007/s10479-016-2387-xzbMath1381.90063OpenAlexW2567592283MaRDI QIDQ1703557

Miloš Kopa, Vittorio Moriggia, Sebastiano Vitali

Publication date: 2 March 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2387-x

zbMATH Keywords

multistage stochastic programmingstochastic dominance constraintsaverage Value at Risk deviationindividual pension problem

Mathematics Subject Classification ID

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