Portfolio risk minimization and differential games

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

zbMATH Keywords

stochastic differential game; financial risk; convex risk measures; change of measures; macro-economic risk; portfolio risk minimization; regime-switching HJB equation

Mathematics Subject Classification ID

91A23: Differential games (aspects of game theory)

60J27: Continuous-time Markov processes on discrete state spaces

91G10: Portfolio theory

Related Items

Hedging of contingent claims written on non traded assets under Markov-modulated models, Funding and investment decisions in a stochastic defined benefit pension plan with regime switching, PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL, Pricing Defaultable Bonds in a Markov Modulated Market

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A PDE approach for risk measures for derivatives with regime switching
• Mathematics of financial markets.
• Martingale approach to stochastic differential games of control and stopping
• On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
• Filtering with discrete state observations
• Convex measures of risk and trading constraints
• Inf-convolution of risk measures and optimal risk transfer
• Risk measures for derivatives with Markov-modulated pure jump processes
• Coherent Measures of Risk
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• Optimal Play in a Stochastic Differential Game
• The Existence of Value in Stochastic Differential Games
• Cooperative Stochastic Differential Games
• Stochastic differential equations. An introduction with applications.