dc.date.accessioned | 2013-03-12T08:16:49Z | |
dc.date.available | 2013-03-12T08:16:49Z | |
dc.date.issued | 2005 | en_US |
dc.date.submitted | 2009-11-26 | en_US |
dc.identifier.uri | http://hdl.handle.net/10852/10595 | |
dc.description.abstract | In this paper we consider the problem to find a market portfolio that minimizes the convex risk measure of the terminal wealth in a jump diffusion market. We formulate the problem as a two player (zero-sum) stochastic differential game. To help us find a solution, we prove a theorem giving the HJBI conditions for a general zero-sum stochastic differential game in a jump diffusion setting. We then use the theorem to study particular risk minimization problems. Finally, we extend our approach to cover general stochastic differential games (not necessarily zero-sum), and we obtain similar HJBI equations for the Nash equilibria of such games. | eng |
dc.language.iso | eng | en_US |
dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
dc.rights | © The Author(s) (2005). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
dc.title | Risk minimizing portfolios and HJBI equations for stochastic differential games | en_US |
dc.type | Research report | en_US |
dc.date.updated | 2009-11-26 | en_US |
dc.rights.holder | Copyright 2005 The Author(s) | |
dc.creator.author | Mataramvura, Sure | en_US |
dc.creator.author | Øksendal, Bernt | en_US |
dc.subject.nsi | VDP::410 | en_US |
dc.identifier.urn | URN:NBN:no-23643 | en_US |
dc.type.document | Forskningsrapport | en_US |
dc.identifier.duo | 97366 | en_US |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10595/1/pm40-05.pdf | |