Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (Q340669)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model |
scientific article |
Statements
Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (English)
0 references
14 November 2016
0 references
Hamilton-Jacobi-Bellman (HJB) equation
0 references
hidden Markov model (HMM)
0 references
multiple risky assets
0 references
maximum value-at-risk (MVaR) constraint
0 references
optimal portfolio
0 references
0 references
0 references
0 references
