Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle - Biswas, Subhojit; Ghosh, Mrinal K.; Mukherjee, Diganta (Stochastic analysis and applications, 2021)
Keywords: Distribution functions; Dynamic programming; Empirical equations; Exact solutions; Expected utility; finance; Hamiltonian system; heavy tailed distribution; Maximum principle; Normality; Optimization; portfolio optimization; Quantiles; Risk management; Smoothness; stochastic maximum principle; Strategy