Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint (Q1740034)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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