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- W2970614095 abstract "• S-shaped utility maximization with applications in defined contribution pension investment. • Value at Risk constraint and closed convex cone control constraint. • Concavification of discontinuous non-concave function and dual control method. • Closed form optimal wealth process and trading strategies. In this paper we investigate an optimal investment problem under loss aversion (S-shaped utility) and with trading and Value-at-Risk (VaR) constraints faced by a defined contribution (DC) pension fund manager. We apply the concavification and dual control method to solve the problem and derive the closed-form representation of the optimal terminal wealth in terms of a controlled dual state variable. We propose a simple and effective algorithm for computing the initial dual state value, the Lagrange multiplier and the optimal terminal wealth. Theoretical and numerical results show that the VaR constraint can significantly impact the distribution of the optimal terminal wealth and may greatly reduce the risk of losses in bad economic states due to loss aversion." @default.
- W2970614095 created "2019-09-05" @default.
- W2970614095 creator A5070347857 @default.
- W2970614095 creator A5083939394 @default.
- W2970614095 date "2020-03-01" @default.
- W2970614095 modified "2023-09-26" @default.
- W2970614095 title "Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan" @default.
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- W2970614095 doi "https://doi.org/10.1016/j.ejor.2019.08.034" @default.
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