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zbMath1211.91224MaRDI QIDQ3076650

Jingzhen Liu, Ka-Fai Cedric Yiu, Kok Lay Teo

Publication date: 23 February 2011

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

optimal portfolio stress testing jump-diffusion conditional value-at-risk

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Discrete approximations in optimal control (49M25) Portfolio theory (91G10)

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Optimal investment of an insurer with regime-switching and risk constraint

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