Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
Zheng Chen, Zhongfei Li, Yan Zeng, Jingyun Sun
| Year of publication: |
July 2017
|
|---|---|
| Authors: | Chen, Zheng ; Li, Zhongfei ; Zeng, Yan ; Sun, Jingyun |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 75.2017, p. 137-150
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| Subject: | DC pension plan | Minimum performance constraint | Loss aversion | Martingale approach | Inflation risk | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | Inflation | Pensionskasse | Pension fund | Theorie | Theory | Risiko | Risk | Altersvorsorge | Retirement provision |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2017.05.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011740793