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Authors: Siu, Tak Kuen
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/208770
Description: An asset allocation problem of a member of a defined contribution (DC) pension fund is discussed in a hidden, Markov regime-switching, economy using backward stochastic differential equations, (BSDEs) ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/174247
Description: We discuss an optimal portfolio selection problem of an insurer who faces model uncertainty in a jump-diffusion risk model using a game theoretic approach. In particular, the optimal portfolio selecti ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138019
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 cha ... More
Reviewed: Reviewed
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