scientific article; zbMATH DE number 7801520

MaRDI QIDQ6148931

Unnamed Author, Zihan Yin, Wenxin Lv, Yinghui Dong

Publication date: 8 February 2024

Full work available at URL: https://applmath.cjoe.ac.cn/jweb_yysxxb/EN/Y2023/V46/I2/291

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

loss aversionconcavificationDC pension planlimited-expected-losses constraint

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Dynamic programming in optimal control and differential games (49L20)

Cites Work

• Optimal management of DC pension plan under loss aversion and value-at-risk constraints
• Optimal investment for a pension fund under inflation risk
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Advances in prospect theory: cumulative representation of uncertainty
• Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
• Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
• Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
• Prospect Theory: An Analysis of Decision under Risk
• Dynamic mean-variance problem for defined contribution pension fund under inflation
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