Optimal portfolios with regime switching and value-at-risk constraint.

Ka Fai Cedric Yiu Jingzhen Liu Tak Kuen Siu Wai-Ki Ching

Published in: Autom. (2010)

Keyphrases

optimal solution
conditional expectation
dynamic programming
data sets
optimal portfolio
optimal design
risk management
neural network
portfolio selection
risk assessment
optimal control
closed form
markov chain
high risk
worst case
portfolio optimization
risk averse
risk neutral
evolutionary algorithm
data structure