Optimal management of DC pension fund under the relative performance ratio and VaR constraint
Year of publication: |
2023
|
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Authors: | Guan, Guohui ; Liang, Zongxia ; Xia, Yi |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 305.2023, 2 (1.3.), p. 868-886
|
Subject: | Risk management | Performance ratio | Value-at-Risk constraint | Martingale method | DC pension plan | Risikomanagement | Pensionskasse | Pension fund | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory |
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