Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint (Q1740034)

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Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
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    Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint (English)
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    29 April 2019
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    regime-switching model
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    investment-consumption
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    asset-liability management
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    Hamilton-Jacobi-Bellman equation
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    value-at-risk
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