Open AccessOptimal Portfolio Selection with Regime-Switching Hamilton-Jacobi-Bellman (HJB) Equation and Maximum Value-at-Risk (MVaR) Constraint
Author(s) -
F. Setyani,
Mila Novita,
Maulana Malik
Publication year - 2018
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1108/1/012070
Subject(s) - hamilton–jacobi–bellman equation , bellman equation , mathematical optimization , portfolio , lagrange multiplier , viscosity solution , optimal control , dynamic programming , constraint (computer aided design) , portfolio optimization , stochastic control , optimal stopping , economics , mathematics , finance , geometry