Pages that link to "Item:Q993724"
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The following pages link to On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (Q993724):
Displaying 50 items.
- On singular control problems with state constraints and regime-switching: a viscosity solution approach (Q290828) (← links)
- Maximum principle for optimal control problems of forward-backward regime-switching system and applications (Q360666) (← links)
- Nonzero-sum stochastic differential game between controller and stopper for jump diffusions (Q370194) (← links)
- Dynamic programming for a Markov-switching jump-diffusion (Q396027) (← links)
- Portfolio risk minimization and differential games (Q425781) (← links)
- Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching (Q517215) (← links)
- On pricing and hedging options in regime-switching models with feedback effect (Q633323) (← links)
- Utility-based indifference pricing in regime-switching models (Q640157) (← links)
- Robust optimal reinsurance-investment strategy with price jumps and correlated claims (Q784390) (← links)
- Joint tails impact in stochastic volatility portfolio selection models (Q827150) (← links)
- Utility indifference valuation of corporate bond with rating migration risk (Q889421) (← links)
- Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
- Robust portfolios: contributions from operations research and finance (Q993719) (← links)
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance (Q1626520) (← links)
- Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model (Q1666474) (← links)
- Stochastic differential portfolio games for an insurer in a jump-diffusion risk process (Q1935921) (← links)
- On optimal proportional reinsurance and investment in a Markovian regime-switching economy (Q1943015) (← links)
- Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods (Q2015641) (← links)
- The Dynkin game with regime switching and applications to pricing game options (Q2151666) (← links)
- Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach (Q2241128) (← links)
- Regime switching model estimation: spectral clustering hidden Markov model (Q2241182) (← links)
- Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model (Q2356875) (← links)
- Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives (Q2393345) (← links)
- Some new concepts and their computational formulae in aggregated stochastic processes with classifications based on sojourn times (Q2404175) (← links)
- Portfolio selection in a two-regime world (Q2630104) (← links)
- Relative performance evaluation for dynamic contracts in a large competitive market (Q2672102) (← links)
- Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market (Q2673823) (← links)
- On the estimation of regime-switching Lévy models (Q2691688) (← links)
- Reliability evaluation of a Semi-Markov repairable system under alternative environments (Q2815976) (← links)
- REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK (Q2853377) (← links)
- Pricing Defaultable Bonds in a Markov Modulated Market (Q2893288) (← links)
- A stochastic differential game for optimal investment of an insurer with regime switching (Q3169215) (← links)
- A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type (Q3174750) (← links)
- Perpetual American vanilla option pricing under single regime change risk: an exhaustive study (Q3301076) (← links)
- Analytic value function for optimal regime-switching pairs trading rules (Q4554446) (← links)
- HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
- Optimal investment of an insurer with regime-switching and risk constraint (Q4576870) (← links)
- The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system (Q4622808) (← links)
- Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model (Q4981886) (← links)
- Risk minimization for an insurer with investment and reinsurance via <i>g</i>-expectation (Q5077872) (← links)
- Robust optimal R&D investment under technical uncertainty in a regime-switching environment (Q5085234) (← links)
- Dynamic programming for semi-Markov modulated SDEs (Q5093684) (← links)
- Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case (Q5108226) (← links)
- Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes (Q5413858) (← links)
- DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING (Q5416702) (← links)
- Multi‐period mean‐variance portfolio selection in a regime‐switching market with a bankruptcy state (Q5417267) (← links)
- Fund managers' competition for investment flows based on relative performance (Q6051175) (← links)
- European option pricing with market frictions, regime switches and model uncertainty (Q6152695) (← links)
- On the cumulant transforms for Hawkes processes (Q6159627) (← links)
- Mean field control and finite agent approximation for regime-switching jump diffusions (Q6166349) (← links)
