On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (Q993724)
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scientific article; zbMATH DE number 5788832
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| English | On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy |
scientific article; zbMATH DE number 5788832 |
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On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (English)
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20 September 2010
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risk minimization
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convex risk measure
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stochastic differential game
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regime-switching HJB equation
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change of measures
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0.9110758900642396
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0.8369311094284058
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0.8087384700775146
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0.8065997362136841
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0.80014568567276
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