Optimal investment of DC pension plan with two VaR constraints
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Publication:5079897
DOI10.1080/03610926.2020.1767141OpenAlexW3026831918MaRDI QIDQ5079897
Sang Wu, Shunqing Zhu, Yinghui Dong
Publication date: 30 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2020.1767141
utility maximizationmartingale approachconcavificationDC pension planLagrange dual methodtwo VaR constraints
Cites Work
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