On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (Q993724): Difference between revisions

From MaRDI portal
Created claim: MaRDI profile type (P1460): MaRDI publication profile (Q5976449), #quickstatements; #temporary_batch_1710362833254
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s10479-008-0448-5 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2070062192 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inf-convolution of risk measures and optimal risk transfer / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3613976 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4438197 / rank
 
Normal rank
Property / cites work
 
Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4550909 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Filtering with discrete state observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3969647 / rank
 
Normal rank
Property / cites work
 
Property / cites work: PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mathematics of financial markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: An application of hidden Markov models to asset allocation problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4323296 / rank
 
Normal rank
Property / cites work
 
Property / cites work: FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust parameter estimation for asset price models with Markov modulated volatilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing and Esscher transform under regime switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk measures for derivatives with Markov-modulated pure jump processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A PDE approach for risk measures for derivatives with regime switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4086303 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex measures of risk and trading constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Introduction to a theory of value coherent with the no-arbitrage principle / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic differential equations. An introduction with applications. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Applied stochastic control of jump diffusions / rank
 
Normal rank

Latest revision as of 05:24, 3 July 2024

scientific article
Language Label Description Also known as
English
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
scientific article

    Statements

    On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (English)
    0 references
    0 references
    0 references
    20 September 2010
    0 references
    risk minimization
    0 references
    convex risk measure
    0 references
    stochastic differential game
    0 references
    regime-switching HJB equation
    0 references
    change of measures
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references