Portfolio risk minimization and differential games
type: Item
instance of: scholarly article
title: Portfolio risk minimization and differential games
zbMATH Open document ID: 1239.91145
author: Robert J. Elliott
author: Tak Kuen Siu
published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods
publication date: 2012-06-09T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91A23
Mathematics Subject Classification ID: 60J27
zbMATH DE Number: 6044640
zbMATH Keywords: portfolio risk minimization
zbMATH Keywords: stochastic differential game
zbMATH Keywords: convex risk measures
zbMATH Keywords: regime-switching HJB equation
zbMATH Keywords: change of measures
zbMATH Keywords: financial risk
zbMATH Keywords: macro-economic risk
MaRDI profile type: Publication
full work available at URL: j.na.2009.03.085
OpenAlex ID: W2026737856
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DOI: 10.1016/J.NA.2009.03.085
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description: scientific article; zbMATH DE number 6044640