Risk minimizing portfolios and HJBI equations for stochastic differential games
- 1 August 2008
- journal article
- Published by Taylor & Francis in Stochastics
- Vol. 80 (4) , 317-337
Abstract
No abstract availableThis publication has 22 references indexed in Scilit:
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONSMathematical Finance, 2008
- Ambiguity Aversion, Robustness, and the Variational Representation of PreferencesEconometrica, 2006
- Robust utility maximization for complete and incomplete market modelsFinance and Stochastics, 2005
- Dynamic Minimization of Worst Conditional Expectation of ShortfallMathematical Finance, 2004
- Worst case model risk managementFinance and Stochastics, 2002
- Convex measures of risk and trading constraintsFinance and Stochastics, 2002
- On the minimal entropy martingale measureThe Annals of Probability, 2002
- MARKET FORCES AND DYNAMIC ASSET PRICINGStochastic Analysis and Applications, 2002
- Coherent Measures of RiskMathematical Finance, 1999
- Maxmin expected utility with non-unique priorJournal of Mathematical Economics, 1989