On risk minimizing portfolios under a Markovian regime-switching black-scholes economy

Annals of Operations Research

Volumn 176, Issue 1, 2010, Pages 271-291

  Elliott, Robert J ^a,b   Siu, Tak Kuen ^c  

^a UNIVERSITY OF CALGARY   (Canada)

^b UNIVERSITY OF ADELAIDE   (Australia)

^c CURTIN UNIVERSITY   (Australia)

Author keywords

Change of measures; Convex risk measure; Regime switching HJB equation; Risk minimization; Stochastic differential game

Indexed keywords

EID: 77949423164     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-008-0448-5     Document Type: Article

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