Duy‐Minh Dang

Multiperiod Mean-Buffered Probability of Exceedance in Defined Contribution Portfolio Optimization

Abstract. We investigate multiperiod mean–risk portfolio optimization for long-horizon Defined Contribution plans, focusing on buffered Probability of Exceedance (bPoE), a more intuitive, dollar-based alternative to Conditional Value-at-Risk (CVaR). We formulate both precommitmen...