Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
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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
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