Optimal portfolios with regime switching and value-at-risk constraint
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Publication:976262
DOI10.1016/J.AUTOMATICA.2010.02.027zbMATH Open1189.91199OpenAlexW2074414121MaRDI QIDQ976262FDOQ976262
Authors: Jingzhen Liu, Wai-Ki Ching, Ka Fai Cedric Yiu, Tak Kuen Siu 
Publication date: 17 June 2010
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2010.02.027
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regime-switchingdynamic programmingutility maximizationoptimal portfolio selectionmaximum value-at-risk constraintsregime-switching HJB equations
Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming (90C39) Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20)
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Cited In (34)
- Dynamic trading with Markov liquidity switching
- Optimal stochastic investment games under Markov regime switching market
- Stochastic differential game in high frequency market
- Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
- Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
- CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING
- Portfolio optimization using regime-switching stochastic interest rate and stochastic volatility models
- Robust reinsurance contracts with risk constraint
- Optimal investment and consumption when regime transitions cause price shocks
- Optimal investment of an insurer with regime-switching and risk constraint
- Optimal investment-reinsurance policy with regime switching and value-at-risk constraint
- Equilibrium strategies in a defined benefit pension plan game with regime switching
- Optimal portfolios with stress analysis and the effect of a CVaR constraint
- Equilibrium multi-agent model with heterogeneous views on fundamental risks
- Fuzzy multi-period portfolio selection optimization models using multiple criteria
- The optimal mean variance problem with inflation
- Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model
- 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
- Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax
- Optimal portfolio execution problem with stochastic price impact
- Power penalty method for solving HJB equations arising from finance
- Portfolio optimization under the Value-at-Risk constraint
- Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
- Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
- A general stochastic maximum principle for mean-field controls with regime switching
- Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system
- Optimal switching for linear quadratic problem of switched systems in discrete time
- Stochastic differential reinsurance and investment games with delay under VaR constraints⋆
- A decomposition method for optimal portfolios with regime-switching and risk constraint
- Optimal insurance in a changing economy
- Optimality of \((s,S)\) policies with nonlinear processes
- Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions
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