Imperial College London
Professor Harry Zheng

ProfessorHarryZheng

Faculty of Natural Sciences, Department of Mathematics

Professor of Mathematics
 
 
 
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Contact

 

+44 (0)20 7594 8539h.zheng Website

 
 
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Location

 

6M16Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Dong:2020:10.1016/j.ejor.2019.08.034,
author = {Dong, Y and Zheng, H},
doi = {10.1016/j.ejor.2019.08.034},
journal = {European Journal of Operational Research},
pages = {341--356},
title = {Optimal investment with S-shaped utility and trading and value at risk constraints: An application to defined contribution pension plan},
url = {http://dx.doi.org/10.1016/j.ejor.2019.08.034},
volume = {281},
year = {2020}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - 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.
AU  - Dong,Y
AU  - Zheng,H
DO  - 10.1016/j.ejor.2019.08.034
EP  - 356
PY  - 2020///
SN  - 0377-2217
SP  - 341
TI  - Optimal investment with S-shaped utility and trading and value at risk constraints: An application to defined contribution pension plan
T2  - European Journal of Operational Research
UR  - http://dx.doi.org/10.1016/j.ejor.2019.08.034
UR  - http://hdl.handle.net/10044/1/73625
VL  - 281
ER  -
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