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

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