On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy

DOI10.1007/s10479-008-0448-5zbMath1233.91242MaRDI QIDQ993724

Robert J. Elliott, Tak Kuen Siu

Publication date: 20 September 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-008-0448-5

zbMATH Keywords

stochastic differential game; risk minimization; convex risk measure; change of measures; regime-switching HJB equation

Mathematics Subject Classification ID

91A23: Differential games (aspects of game theory)

93E20: Optimal stochastic control

91G10: Portfolio theory

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Uses Software

• RiskMetrics

Cites Work

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