Optimal portfolios under a value-at-risk constraint with applications to inventory control in supply chains

Journal of Industrial and Management Optimization

Volumn 4, Issue 1, 2008, Pages 81-94

  Yiu, K F C ^a   Wang, S Y ^b   Mak, K L ^b  

^a HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

^b UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

HJB equation; Inventory control; Optimal portfolio; Value at risk

Indexed keywords

EID: 56649111143     PISSN: 15475816     EISSN: 1553166X     Source Type: Journal    
DOI: 10.3934/jimo.2008.4.81     Document Type: Conference Paper

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