Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes
From MaRDI portal
Publication:5413858
DOI10.1080/07362994.2014.858551zbMath1291.91197MaRDI QIDQ5413858
Publication date: 2 May 2014
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2014.858551
regime switching; stochastic differential games; convex risk measures; asset allocation; pure jump processes
91A05: 2-person games
90C39: Dynamic programming
91A15: Stochastic games, stochastic differential games
91G10: Portfolio theory
Related Items
Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond, Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
Cites Work
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- A BSDE approach to a risk-based optimal investment of an insurer
- Representation of the penalty term of dynamic concave utilities
- Option pricing for pure jump processes with Markov switching compensators
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- Filtering with discrete state observations
- Convex measures of risk and trading constraints
- A BSDE approach to risk-based asset allocation of pension funds with regime switching
- Risk measures for derivatives with Markov-modulated pure jump processes
- Time Changes for Lévy Processes
- Coherent Measures of Risk
- A stochastic differential game for optimal investment of an insurer with regime switching
- Stochastic differential equations. An introduction with applications.
