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 |
Set OpenAlex properties. |
||
| 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 | |||
Revision as of 22:53, 19 March 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
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
