Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (Q340669)
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scientific article; zbMATH DE number 6652804
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| English | Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model |
scientific article; zbMATH DE number 6652804 |
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Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (English)
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14 November 2016
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Hamilton-Jacobi-Bellman (HJB) equation
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hidden Markov model (HMM)
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multiple risky assets
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maximum value-at-risk (MVaR) constraint
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optimal portfolio
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