Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint (Q1740034)
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scientific article; zbMATH DE number 7048823
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| English | Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint |
scientific article; zbMATH DE number 7048823 |
Statements
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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0.8745081424713135
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0.8170343041419983
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0.8135735392570496
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0.7985498905181885
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