On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Year of publication: |
2010
|
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Authors: | Elliott, Robert J. ; Siu, Tak Kuen |
Published in: |
Annals of operations research. - Dordrecht, The Netherlands : Springer Nature B.V., ISSN 0254-5330, ZDB-ID 252629-3. - Vol. 176.2010, p. 271-291
|
Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Black-Scholes-Modell | Black-Scholes model | Risiko | Risk | Risikomanagement | Risk management |
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