Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes
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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
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