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Title: A Markovian regime-switching stochastic differential game for portfolio risk minimization
Related: American Control Conference (11 - 13 June 2008 : Seattle, WA)
Related: Hovakimyan, Naira. Proceedings of the 2008 American Control Conference : Seattle, WA, USA, July 11-13, 2008, p.1017-1022
DOI: 10.1109/ACC.2008.4586625
Publisher: New York : IEEE
Date: 2008
FoR/RFCD Code(s): 010400 Statistics
Author/Creator: Elliott, Robert J
Author/Creator: Siu, Tak Kuen
Description: 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.
Description: 6 page(s)
Subject Keyword: 010400 Statistics
Resource Type: conference paper
Organisation: Macquarie University. Dept. of Actuarial Studies

Identifier: http://hdl.handle.net/1959.14/139844
Identifier: ISBN:9781424420780
Identifier: ISSN:0743-1619
Identifier: mq-rm-2009000287
Language: eng
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