Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/54602
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Type: Conference paper
Title: A Markovian regime-switching stochastic differential game for portfolio risk minimization
Author: Elliott, R.
Siu, T.
Citation: Proceedings of the American Control Conference, 2008: pp.1017-1022
Publisher: AACC
Publisher Place: USA
Issue Date: 2008
ISBN: 9781424420780
Conference Name: American Control Conference (2008 : Seattle, Washington)
Statement of
Responsibility: 
Robert J. Elliott and Tak Kuen Siu
Abstract: A risk minimization problem is considered in a continuous-time Markovian regime-switching financial model modulated by a continuous-time, finite-state Markov chain. We interpret the states of the chain as different market regimes. A convex risk measure is used as a measure of risk and an optimal portfolio is determined by minimizing the convex risk measure of the terminal wealth. We explore the state of the art of the stochastic differential game to formulate the problem as a Markovian regime-switching version of a two-player, zero- sum stochastic differential game. A verification theorem for the Hamilton-Jacobi-Bellman (HJB) solution of the game is provided.
DOI: 10.1109/ACC.2008.4586625
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Mathematical Sciences publications

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