"Optimal portfolios with maximum Value-at-Risk constraint under a hidden ..."

Dong-Mei Zhu et al. (2016)

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DOI: 10.1016/J.AUTOMATICA.2016.07.032

access: closed

type: Journal Article

metadata version: 2020-02-20

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Dong-Mei Zhu, Yue Xie, Wai-Ki Ching, Tak Kuen Siu:
Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model. Autom. 74: 194-205 (2016)

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