Optimal investment-consumption strategy with liability and regime switching model under Value-at-Risk constraint.
Fengxia HuRongming WangPublished in: Appl. Math. Comput. (2017)
Keyphrases
- formal model
- closed form
- probabilistic model
- mathematical model
- computational model
- high level
- investment strategies
- statistical methods
- experimental data
- statistical model
- optimal solution
- parameter estimation
- management system
- probability distribution
- prior knowledge
- reinforcement learning
- data sets
- chance constraints