Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes (Q5413858): Difference between revisions

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Latest revision as of 12:05, 8 July 2024

scientific article; zbMATH DE number 6291219
Language Label Description Also known as
English
Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes
scientific article; zbMATH DE number 6291219

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    Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes (English)
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    2 May 2014
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    asset allocation
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    convex risk measures
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    pure jump processes
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    regime switching
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    stochastic differential games
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