Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (Q340669)

From MaRDI portal
Revision as of 23:24, 12 July 2024 by ReferenceBot (talk | contribs) (‎Changed an Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
scientific article

    Statements

    title
    Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (English)
    0 references
    author
    Dong-Mei Zhu
    0 references
    Yue Xie
    0 references
    Wai-Ki Ching
    0 references
    Tak Kuen Siu
    0 references
    published in
    Automatica
    0 references
    publication date
    14 November 2016
    0 references
    Mathematics Subject Classification ID
    93E20
    0 references
    91G10
    0 references
    91G80
    0 references
    zbMATH DE Number
    6652804
    0 references
    zbMATH Keywords
    Hamilton-Jacobi-Bellman (HJB) equation
    0 references
    hidden Markov model (HMM)
    0 references
    multiple risky assets
    0 references
    maximum value-at-risk (MVaR) constraint
    0 references
    optimal portfolio
    0 references
    OpenAlex ID
    W2528689191
    0 references
    cites work
    Q3969647
    0 references
    Q4323296
    0 references
    Q4086303
    0 references
    Q2771118
    0 references
    Q4139359
    0 references
    Q4255599
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q340669&oldid=36288145"
    Powered by MediaWiki