Optimal investment–consumption strategy with liability and regime switching model under Value-at-Risk constraint
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
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1. OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS;The ANZIAM Journal;2021-07
2. Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints;Insurance: Mathematics and Economics;2021-01
3. Optimal Portfolio Selection with Regime-Switching Hamilton-Jacobi-Bellman (HJB) Equation and Maximum Value-at-Risk (MVaR) Constraint;Journal of Physics: Conference Series;2018-11
4. Portfolio selection in a regime switching market with a bankruptcy state and an uncertain exit-time: multi-period mean–variance formulation;Operational Research;2018-01-29
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