A Markovian regime-switching stochastic differential game for portfolio risk minimization

Robert J. Elliott, Tak Kuen Siu

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contribution

3 Citations (Scopus)
22 Downloads (Pure)

Abstract

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.

Original languageEnglish
Title of host publicationProceedings of the 2008 American Control Conference
Subtitle of host publicationSeattle, WA, USA, July 11-13, 2008
EditorsNaira Hovakimyan
Place of PublicationNew York
PublisherInstitute of Electrical and Electronics Engineers (IEEE)
Pages1017-1022
Number of pages6
ISBN (Print)9781424420797
DOIs
Publication statusPublished - 2008
Externally publishedYes
Event2008 American Control Conference, ACC - Seattle, WA, United States
Duration: 11 Jun 200813 Jun 2008

Other

Other2008 American Control Conference, ACC
CountryUnited States
CitySeattle, WA
Period11/06/0813/06/08

Bibliographical note

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