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Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model.
Dong-Mei Zhu
Yue Xie
Wai-Ki Ching
Tak Kuen Siu
Published in:
Autom. (2016)
Keyphrases
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formal model
high level
mathematical model
cost function
risk assessment
computational model
theoretical framework
portfolio optimization
neural network
expected utility
prediction model
closed form
experimental data
theoretical analysis
maximum likelihood
probability distribution
genetic algorithm