Optimal investment with a value-at-risk constraint (Q2450805): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.3934/jimo.2012.8.531 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2320342124 / rank | |||
Normal rank | |||
Revision as of 18:34, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment with a value-at-risk constraint |
scientific article |
Statements
Optimal investment with a value-at-risk constraint (English)
0 references
16 May 2014
0 references
value-at-risk
0 references
ruin probability
0 references
insurance company
0 references
investment
0 references
Hamilton-Jacobi-Bellman equation
0 references
