Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes
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- scientific article; zbMATH DE number 6296770
Cites work
- A BSDE approach to a risk-based optimal investment of an insurer
- A BSDE approach to risk-based asset allocation of pension funds with regime switching
- A stochastic differential game for optimal investment of an insurer with regime switching
- Coherent measures of risk
- Convex measures of risk and trading constraints
- Filtering with discrete state observations
- scientific article; zbMATH DE number 3793150 (Why is no real title available?)
- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- Optimum consumption and portfolio rules in a continuous-time model
- Option pricing for pure jump processes with Markov switching compensators
- Representation of the penalty term of dynamic concave utilities
- Risk measures for derivatives with Markov-modulated pure jump processes
- Stochastic differential equations. An introduction with applications.
- Time changes for Lévy processes
Cited in
(13)- A BSDE approach to risk-based asset allocation of pension funds with regime switching
- Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
- Risk measures for derivatives with Markov-modulated pure jump processes
- Risk-sensitive investment in a finite-factor model
- Risk sensitive portfolio optimization in a jump diffusion model with regimes
- Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond
- The Risk and Reward Management in Innovation Portfolios: A Markovian Approach
- Optimal Portfolio and Consumption Policies Subject to Rishel's Important Jump Events Model: Computational Methods
- scientific article; zbMATH DE number 6296770 (Why is no real title available?)
- Markov decision process algorithms for wealth allocation problems with defaultable bonds
- Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory
- Asset allocation for a DC pension plan with minimum guarantee constraint and hidden Markov regime-switching
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
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