Optimal Portfolio Selection with Regime-Switching Hamilton-Jacobi-Bellman (HJB) Equation and Maximum Value-at-Risk (MVaR) Constraint

F. Setyani, M. Novita, M. Malik

Research output: Contribution to journal › Conference article › peer-review

1 Citation (Scopus)

Fingerprint

Dive into the research topics of 'Optimal Portfolio Selection with Regime-Switching Hamilton-Jacobi-Bellman (HJB) Equation and Maximum Value-at-Risk (MVaR) Constraint'. Together they form a unique fingerprint.

Keyphrases

Economics, Econometrics and Finance

Mathematics

Engineering