基于动态VaR约束与随机波动率模型的最优投资策略

伊博, 李仲飞, 曾燕

Optimal investment strategy with stochastic volatility and dynamic
VaR constraint

YI Bo, LI Zhong-Fei, ZENG Yan

运筹学学报 . 2012, (2): 77 -90 .