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On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Elliott, Robert J.
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Siu, Tak Kuen
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2010
Persistent link: https://www.econbiz.de/10003964890
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Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures
Elliott, Robert J.
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Siu, Tak Kuen
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2010
Persistent link: https://www.econbiz.de/10008393895
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A BSDE approach to risk-based asset allocation of pension funds with regime switching
Siu, Tak Kuen
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2012
Persistent link: https://www.econbiz.de/10009710207
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A BSDE approach to risk-based asset allocation of pension funds with regime switching
Siu, Tak Kuen
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2012
Persistent link: https://www.econbiz.de/10010047423
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