Optimal portfolios with regime switching and value-at-risk constraint
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- scientific article; zbMATH DE number 1944680
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Cites work
- scientific article; zbMATH DE number 3740236 (Why is no real title available?)
- scientific article; zbMATH DE number 2015362 (Why is no real title available?)
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A YIELD‐FACTOR MODEL OF INTEREST RATES
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- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
- Information and option pricings
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Numerical solution of Hamilton-Jacobi-Bellman equations by an upwind finite volume method
- OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
- On application of an alternating direction method to Hamilton--Jacobin--Bellman equations.
- Optimal portfolios under a value-at-risk constraint
- Optimal portfolios with bounded capital at risk.
- Optimum consumption and portfolio rules in a continuous-time model
- Option pricing and Esscher transform under regime switching
- PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS
- Power penalty method for a linear complementarity problem arising from American option valuation
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- Robust parameter estimation for asset price models with Markov modulated volatilities
- Solving Hamilton-Jacobi-Bellman equations by a modified method of characteristics
- Stochastic optimal control theory and its computational methods
- Utility maximization under a shortfall risk constraint
Cited in
(34)- Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions
- Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
- Optimal portfolios with stress analysis and the effect of a CVaR constraint
- Optimal investment of an insurer with regime-switching and risk constraint
- A general stochastic maximum principle for mean-field controls with regime switching
- Optimal insurance in a changing economy
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
- Fuzzy multi-period portfolio selection optimization models using multiple criteria
- Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system
- Optimal investment and consumption when regime transitions cause price shocks
- A decomposition method for optimal portfolios with regime-switching and risk constraint
- Equilibrium strategies in a defined benefit pension plan game with regime switching
- Optimal investment-reinsurance policy with regime switching and value-at-risk constraint
- Dynamic trading with Markov liquidity switching
- Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax
- Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
- The optimal mean variance problem with inflation
- Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
- Portfolio optimization under the Value-at-Risk constraint
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
- Portfolio optimization using regime-switching stochastic interest rate and stochastic volatility models
- Robust reinsurance contracts with risk constraint
- Optimal switching for linear quadratic problem of switched systems in discrete time
- Optimality of \((s,S)\) policies with nonlinear processes
- Stochastic differential game in high frequency market
- Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
- Optimal stochastic investment games under Markov regime switching market
- Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model
- Stochastic differential reinsurance and investment games with delay under VaR constraints⋆
- Equilibrium multi-agent model with heterogeneous views on fundamental risks
- Optimal portfolio execution problem with stochastic price impact
- Power penalty method for solving HJB equations arising from finance
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