@article{Dong2024, 
author = {Yinghui Dong and Chengjin Tang and Chunrong Hua},
title = {Optimal investment of DC pension plan under a joint VaR-ES constraint},
year = {2024},
journal = {AIMS Mathematics},
volume = {9},
number = {1},
pages = {2084-2104},
keywords = {DC pension plan, VaR-ES constraint, martingale approach, concavification},
url = {https://www.sciopen.com/article/10.3934/math.2024104},
doi = {10.3934/math.2024104},
abstract = {In this paper, we investigated an optimal investment problem of a defined contribution (DC) pension plan under a joint Value-at-Risk (VaR) and an expected shortfall (ES) constraint. By using a martingale method, we transformed a dynamic optimization problem to a static pointwise optimization problem and derived the closed-form representations of the optimal wealth and portfolio processes in terms of the state price density. Numerical results showed that in comparison to only an ES constraint or a VaR constraint, the joint VaR-ES constraint can not only improve risk management for the bad economic states but also lower the volatility of the optimal terminal wealth.}
}