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

DOI10.1007/s10479-008-0448-5zbMath1233.91242OpenAlexW2070062192MaRDI QIDQ993724

Tak Kuen Siu, Robert J. Elliott

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 gamerisk minimizationconvex risk measurechange of measuresregime-switching HJB equation

Mathematics Subject Classification ID

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Uses Software

• RiskMetrics

Cites Work

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• PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS
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• FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
• Applied stochastic control of jump diffusions
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