On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (Q993724): Difference between revisions
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Revision as of 03:26, 29 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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