"On risk minimizing portfolios under a Markovian regime-switching ..."

Robert J. Elliott, Tak Kuen Siu (2010)

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DOI: 10.1007/S10479-008-0448-5

access: closed

type: Journal Article

metadata version: 2020-08-13

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Robert J. Elliott, Tak Kuen Siu:
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Ann. Oper. Res. 176(1): 271-291 (2010)

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