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Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model
Zhu, Dong-Mei, Xie, Yue, Ching, Wai-Ki, Siu, Tak-KuenVolume:
74
Language:
english
Journal:
Automatica
DOI:
10.1016/j.automatica.2016.07.032
Date:
December, 2016
File:
PDF, 829 KB
english, 2016