Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
From MaRDI portal
Publication:340669
DOI10.1016/j.automatica.2016.07.032zbMath1348.93285OpenAlexW2528689191MaRDI QIDQ340669
Wai-Ki Ching, Tak Kuen Siu, Yue Xie, Dong-Mei Zhu
Publication date: 14 November 2016
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2016.07.032
optimal portfoliohidden Markov model (HMM)Hamilton-Jacobi-Bellman (HJB) equationmaximum value-at-risk (MVaR) constraintmultiple risky assets
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (6)
Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching ⋮ Optimal investment and consumption strategies for pooled annuity with partial information ⋮ Dynamic trading with Markov liquidity switching ⋮ Equilibrium multi-agent model with heterogeneous views on fundamental risks ⋮ Robust reinsurance contracts with risk constraint ⋮ Optimal portfolio execution problem with stochastic price impact
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- A stochastic flows approach for asset allocation with hidden economic environment
- Robust parameter estimation for asset price models with Markov modulated volatilities
- Optimal portfolio choice for unobservable and regime-switching mean returns
- Optimal portfolios under a value-at-risk constraint
- Optimal portfolios with regime switching and value-at-risk constraint
- An application of hidden Markov models to asset allocation problems
- Asset allocation with time variation in expected returns
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Optimal portfolio in partially observed stochastic volatility models.
- A BSDE approach to risk-based asset allocation of pension funds with regime switching
- Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
- An HMM approach for optimal investment of an insurer
- New finite-dimensional filters and smoothers for noisily observed Markov chains
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Long-term strategic asset allocation with inflation risk and regime switching
- A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching
- PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
This page was built for publication: Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model