A decomposition method for optimal portfolios with regime-switching and risk constraint
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Publication:4921211
DOI10.3233/RDA-2012-0070zbMath1263.91048MaRDI QIDQ4921211
Tak Kuen Siu, Jingzhen Liu, Ka-Fai Cedric Yiu
Publication date: 23 May 2013
Published in: Risk and Decision Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3233/rda-2012-0070
regime switching; martingale transform; optimal portfolio selection; power utility; dynamic risk constraint; piecewise constant approximation
91G10: Portfolio theory