Optimal portfolios with regime switching and value-at-risk constraint (Q976262)
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scientific article; zbMATH DE number 5722121
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| English | Optimal portfolios with regime switching and value-at-risk constraint |
scientific article; zbMATH DE number 5722121 |
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Optimal portfolios with regime switching and value-at-risk constraint (English)
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17 June 2010
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optimal portfolio selection
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regime-switching
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maximum value-at-risk constraints
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dynamic programming
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regime-switching HJB equations
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utility maximization
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0.9575714
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0.9488562
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0.93758035
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0.9367405
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0.9339907
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0.92454755
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0.92358774
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0.9204721
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