Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint

no code implementations • 5 Sep 2023 • Hui Mi, Zuo Quan Xu, Dongfang Yang

This paper investigates an optimal investment problem under the tail Value at Risk (tail VaR, also known as expected shortfall, conditional VaR, average VaR) and portfolio insurance constraints confronted by a defined-contribution pension member.

Management