Portfolio risk minimization and differential games (Q425781): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+A23
@@ Property / Mathematics Subject Classification ID: 91A23 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+J27
@@ Property / Mathematics Subject Classification ID: 60J27 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6044640
@@ Property / zbMATH DE Number: 6044640 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+portfolio risk minimization
@@ Property / zbMATH Keywords: portfolio risk minimization / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic differential game
@@ Property / zbMATH Keywords: stochastic differential game / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+convex risk measures
@@ Property / zbMATH Keywords: convex risk measures / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+regime-switching HJB equation
@@ Property / zbMATH Keywords: regime-switching HJB equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+change of measures
@@ Property / zbMATH Keywords: change of measures / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+financial risk
@@ Property / zbMATH Keywords: financial risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+macro-economic risk
@@ Property / zbMATH Keywords: macro-economic risk / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.na.2009.03.085
+Normal rank
@@ Property / OpenAlex ID @@
+W2026737856
@@ Property / OpenAlex ID: W2026737856 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Mathematics of financial markets.
@@ Property / cites work: Mathematics of financial markets. / rank @@
+Normal rank
@@ Property / cites work @@
+Risk measures for derivatives with Markov-modulated pure jump processes
+Normal rank
@@ Property / cites work @@
+A PDE approach for risk measures for derivatives with regime switching
+Normal rank
@@ Property / cites work @@
+The Existence of Value in Stochastic Differential Games
+Normal rank
@@ Property / cites work @@
+Optimal Play in a Stochastic Differential Game
@@ Property / cites work: Optimal Play in a Stochastic Differential Game / rank @@
+Normal rank
@@ Property / cites work @@
+Cooperative Stochastic Differential Games
@@ Property / cites work: Cooperative Stochastic Differential Games / rank @@
+Normal rank
@@ Property / cites work @@
+Risk minimizing portfolios and HJBI equations for stochastic differential games
+Normal rank
@@ Property / cites work @@
+Q3511595
@@ Property / cites work: Q3511595 / rank @@
+Normal rank
@@ Property / cites work @@
+Martingale approach to stochastic differential games of control and stopping
+Normal rank
@@ Property / cites work @@
+Inf-convolution of risk measures and optimal risk transfer
+Normal rank
@@ Property / cites work @@
+On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
+Normal rank
@@ Property / cites work @@
+Filtering with discrete state observations
@@ Property / cites work: Filtering with discrete state observations / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
+Normal rank
@@ Property / cites work @@
+Q3969647
@@ Property / cites work: Q3969647 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4086303
@@ Property / cites work: Q4086303 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:425781