A Genetic Algorithm for Investment–Consumption Optimization with Value-at-Risk Constraint and Information-Processing Cost
This paper studies the optimal investment and consumption strategies in a two-asset model. A dynamic Value-at-Risk constraint is imposed to manage the wealth process. By using Value at Risk as the risk measure during the investment horizon, the decision maker can dynamically monitor the exposed risk...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-03-01
|
| Series: | Risks |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-9091/7/1/32 |