Optimal portfolios with regime switching and value-at-risk constraint
type: Item
instance of: scholarly article
title: Optimal portfolios with regime switching and value-at-risk constraint
zbMATH Open document ID: 1189.91199
author: Jingzhen Liu
author: Wai-Ki Ching
author: Ka Fai Cedric Yiu
author: Tak Kuen Siu
published in: Automatica
publication date: 2010-06-17T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 5722121
zbMATH Keywords: optimal portfolio selection
zbMATH Keywords: regime-switching
zbMATH Keywords: maximum value-at-risk constraints
zbMATH Keywords: dynamic programming
zbMATH Keywords: regime-switching HJB equations
zbMATH Keywords: utility maximization
MaRDI profile type: Publication
full work available at URL: j.automatica.2010.02.027
OpenAlex ID: W2074414121
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DOI: 10.1016/J.AUTOMATICA.2010.02.027
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description: scientific article; zbMATH DE number 5722121