Optimal portfolios with regime switching and value-at-risk constraint

DOI10.1016/j.automatica.2010.02.027zbMath1189.91199OpenAlexW2074414121MaRDI QIDQ976262

Wai-Ki Ching, Jingzhen Liu, 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

zbMATH Keywords

dynamic programmingutility maximizationregime-switchingoptimal portfolio selectionmaximum value-at-risk constraintsregime-switching HJB equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Portfolio theory (91G10)

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