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- Publisher Website: 10.1016/j.automatica.2016.07.032
- Scopus: eid_2-s2.0-84989181321
- WOS: WOS:000389087200023
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Article: Optimal Portfolios with Maximum Value-at-Risk Constraint under a Hidden Markovian Regime-switching Model
Title | Optimal Portfolios with Maximum Value-at-Risk Constraint under a Hidden Markovian Regime-switching Model |
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Authors | |
Keywords | Hamilton–Jacobi–Bellman (HJB) equation Hidden Markov model (HMM) Maximum Value-at-Risk (MVaR) constraint Multiple risky assets Optimal portfolio |
Issue Date | 2016 |
Publisher | Elsevier. The Journal's web site is located at http://www.elsevier.com/locate/automatica |
Citation | Automatica, 2016, v. 74, p. 194-205 How to Cite? |
Persistent Identifier | http://hdl.handle.net/10722/240242 |
ISSN | 2023 Impact Factor: 4.8 2023 SCImago Journal Rankings: 3.502 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | ZHU, D | - |
dc.contributor.author | XIE, Y | - |
dc.contributor.author | Ching, WK | - |
dc.contributor.author | Siu, T | - |
dc.date.accessioned | 2017-04-19T08:21:47Z | - |
dc.date.available | 2017-04-19T08:21:47Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Automatica, 2016, v. 74, p. 194-205 | - |
dc.identifier.issn | 0005-1098 | - |
dc.identifier.uri | http://hdl.handle.net/10722/240242 | - |
dc.language | eng | - |
dc.publisher | Elsevier. The Journal's web site is located at http://www.elsevier.com/locate/automatica | - |
dc.relation.ispartof | Automatica | - |
dc.rights | Posting accepted manuscript (postprint): © <year>. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ | - |
dc.subject | Hamilton–Jacobi–Bellman (HJB) equation | - |
dc.subject | Hidden Markov model (HMM) | - |
dc.subject | Maximum Value-at-Risk (MVaR) constraint | - |
dc.subject | Multiple risky assets | - |
dc.subject | Optimal portfolio | - |
dc.title | Optimal Portfolios with Maximum Value-at-Risk Constraint under a Hidden Markovian Regime-switching Model | - |
dc.type | Article | - |
dc.identifier.email | Ching, WK: wching@hku.hk | - |
dc.identifier.authority | Ching, WK=rp00679 | - |
dc.identifier.doi | 10.1016/j.automatica.2016.07.032 | - |
dc.identifier.scopus | eid_2-s2.0-84989181321 | - |
dc.identifier.hkuros | 271764 | - |
dc.identifier.volume | 74 | - |
dc.identifier.spage | 194 | - |
dc.identifier.epage | 205 | - |
dc.identifier.isi | WOS:000389087200023 | - |
dc.publisher.place | United Kingdom | - |
dc.identifier.issnl | 0005-1098 | - |