Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
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Cites work
- scientific article; zbMATH DE number 3793150 (Why is no real title available?)
- scientific article; zbMATH DE number 3505708 (Why is no real title available?)
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- A BSDE approach to optimal investment of an insurer with hidden regime switching
- A BSDE approach to risk-based asset allocation of pension funds with regime switching
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A stochastic flows approach for asset allocation with hidden economic environment
- An HMM approach for optimal investment of an insurer
- An application of hidden Markov models to asset allocation problems
- Asset allocation with time variation in expected returns
- Bayesian adaptive portfolio optimization
- Long-term strategic asset allocation with inflation risk and regime switching
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- New finite-dimensional filters and smoothers for noisily observed Markov chains
- Optimal portfolio choice for unobservable and regime-switching mean returns
- Optimal portfolio in partially observed stochastic volatility models.
- Optimal portfolios under a value-at-risk constraint
- Optimal portfolios with regime switching and value-at-risk constraint
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Optimum consumption and portfolio rules in a continuous-time model
- PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
- Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
- Robust parameter estimation for asset price models with Markov modulated volatilities
Cited in
(13)- Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions
- Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns
- A decomposition method for optimal portfolios with regime-switching and risk constraint
- Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching
- Dynamic trading with Markov liquidity switching
- Mean-variance type controls involving a hidden Markov chain: models and numerical approximation
- Optimal harvesting policy of an inland fishery resource under incomplete information
- A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT
- Optimal portfolios with regime switching and value-at-risk constraint
- Robust reinsurance contracts with risk constraint
- Optimal investment and consumption strategies for pooled annuity with partial information
- Equilibrium multi-agent model with heterogeneous views on fundamental risks
- Optimal portfolio execution problem with stochastic price impact
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