On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (Q993724): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Created claim: MaRDI profile type (P1460): MaRDI publication profile (Q5976449), #quickstatements; #temporary_batch_1710362833254 |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 21:58, 13 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