Pages that link to "Item:Q976262"

The following pages link to Optimal portfolios with regime switching and value-at-risk constraint (Q976262):

Displaying 23 items.

• Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (Q340669) (← links)
• Optimal switching for linear quadratic problem of switched systems in discrete time (Q518310) (← links)
• Optimality of \((s,S)\) policies with nonlinear processes (Q523979) (← links)
• The optimal mean variance problem with inflation (Q894986) (← links)
• Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model (Q1666474) (← links)
• Stochastic differential game in high frequency market (Q1737914) (← links)
• Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint (Q1740034) (← links)
• Fuzzy multi-period portfolio selection optimization models using multiple criteria (Q1932695) (← links)
• Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance (Q2004551) (← links)
• Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system (Q2086924) (← links)
• A general stochastic maximum principle for mean-field controls with regime switching (Q2234325) (← links)
• Optimal investment-reinsurance policy with regime switching and value-at-risk constraint (Q2244207) (← links)
• Power penalty method for solving HJB equations arising from finance (Q2288647) (← links)
• Optimal portfolio execution problem with stochastic price impact (Q2288736) (← links)
• Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax (Q2338478) (← links)
• Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model (Q2358467) (← links)
• Multi-period defined contribution pension funds investment management with regime-switching and mortality risk (Q2374101) (← links)
• Optimal insurance in a changing economy (Q2438339) (← links)
• Optimal stochastic investment games under Markov regime switching market (Q2438402) (← links)
• Optimal investment and consumption when regime transitions cause price shocks (Q2447410) (← links)
• Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints (Q2656996) (← links)
• Dynamic trading with Markov liquidity switching (Q6165331) (← links)
• Equilibrium multi-agent model with heterogeneous views on fundamental risks (Q6192948) (← links)