Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes

DOI10.1080/07362994.2014.858551zbMath1291.91197OpenAlexW2080166193MaRDI QIDQ5413858

Tak Kuen Siu, Hui Meng

Publication date: 2 May 2014

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2014.858551

zbMATH Keywords

regime switchingstochastic differential gamesconvex risk measuresasset allocationpure jump processes

Mathematics Subject Classification ID

Related Items (2)

Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond ⋮ Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model

Cites Work

• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• A BSDE approach to a risk-based optimal investment of an insurer
• Representation of the penalty term of dynamic concave utilities
• Option pricing for pure jump processes with Markov switching compensators
• On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
• Filtering with discrete state observations
• Convex measures of risk and trading constraints
• A BSDE approach to risk-based asset allocation of pension funds with regime switching
• Risk measures for derivatives with Markov-modulated pure jump processes
• Time Changes for Lévy Processes
• Coherent Measures of Risk
• A stochastic differential game for optimal investment of an insurer with regime switching
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes