Portfolio risk minimization and differential games

DOI10.1016/j.na.2009.03.085zbMath1239.91145OpenAlexW2026737856MaRDI QIDQ425781

Robert J. Elliott, Tak Kuen Siu

Publication date: 9 June 2012

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2009.03.085

zbMATH Keywords

stochastic differential gamefinancial riskconvex risk measureschange of measuresmacro-economic riskportfolio risk minimizationregime-switching HJB equation

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Continuous-time Markov processes on discrete state spaces (60J27) Portfolio theory (91G10)

Related Items (5)

Pricing Defaultable Bonds in a Markov Modulated Market ⋮ Funding and investment decisions in a stochastic defined benefit pension plan with regime switching ⋮ Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case ⋮ Hedging of contingent claims written on non traded assets under Markov-modulated models ⋮ PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL

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