On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Robert J. Elliott; Tak Kuen Siu
| 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
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| Subject: | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Theorie | Theory | Black-Scholes-Modell | Black-Scholes model | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003964890