Portfolio risk minimization and differential games
From MaRDI portal
Publication:425781
DOI10.1016/j.na.2009.03.085zbMath1239.91145MaRDI QIDQ425781
Robert J. Elliott, Tak Kuen Siu
Publication date: 9 June 2012
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.na.2009.03.085
stochastic differential game; financial risk; convex risk measures; change of measures; macro-economic risk; portfolio risk minimization; regime-switching HJB equation
91A23: Differential games (aspects of game theory)
60J27: Continuous-time Markov processes on discrete state spaces
91G10: Portfolio theory
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