Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan.
Yinghui DongHarry ZhengPublished in: Eur. J. Oper. Res. (2020)
Keyphrases
- investment strategies
- risk aversion
- optimal portfolio
- risk neutral
- expected utility
- market data
- optimal solution
- dynamic programming
- decision making
- stock market
- utility function
- anti monotone
- optimality criteria
- financial markets
- portfolio management
- risk averse
- early warning
- risk management
- portfolio selection
- investment decisions
- long run
- decision theoretic
- stock price
- constraint programming
- electronic commerce
- cash flow
- worst case
- conditional expectation
- search space
- chance constraints