Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
type: Item
instance of: scholarly article
title: Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
zbMATH Open document ID: 1427.91256
author: Fengxia Hu
author: Rongming Wang
published in: Applied Mathematics and Computation
publication date: 2019-04-29T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60J27
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7048823
zbMATH Keywords: regime-switching model
zbMATH Keywords: investment-consumption
zbMATH Keywords: asset-liability management
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: value-at-risk
MaRDI profile type: Publication
full work available at URL: j.amc.2017.04.034
OpenAlex ID: W2622190498
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DOI: 10.1016/J.AMC.2017.04.034
description: scientific article; zbMATH DE number 7048823