Shortfall risk minimization in a discrete regime switching model

DOI10.1007/S10203-007-0068-6zbMath1218.91067OpenAlexW2038744935MaRDI QIDQ2644370

Gerard Awanou

Publication date: 31 August 2007

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-007-0068-6

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Dynamic programming (90C39) Financial applications of other theories (91G80)

Cites Work

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• Explicit solutions for shortfall risk minimization in multinomial models.
• A Stochastic Control Approach to Risk Management Under Restricted Information

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