Portfolio risk minimization and differential games (Q425781)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio risk minimization and differential games |
scientific article |
Statements
Portfolio risk minimization and differential games (English)
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9 June 2012
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portfolio risk minimization
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stochastic differential game
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convex risk measures
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regime-switching HJB equation
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change of measures
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financial risk
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macro-economic risk
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