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

Ka Fai Cedric Yiu et al. (2010)

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DOI: 10.1016/J.AUTOMATICA.2010.02.027

access: closed

type: Journal Article

metadata version: 2020-02-20

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Ka Fai Cedric Yiu, Jingzhen Liu, Tak Kuen Siu, Wai-Ki Ching:
Optimal portfolios with regime switching and value-at-risk constraint. Autom. 46(6): 979-989 (2010)

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