On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (Q993724): Difference between revisions
From MaRDI portal
Changed an Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 03:50, 6 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
