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Shortfall risk minimization in a discrete regime switching model

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  • Gerard Awanou

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  • Gerard Awanou, 2007. "Shortfall risk minimization in a discrete regime switching model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 30(1), pages 71-78, May.
    • Handle: RePEc:spr:decfin:v:30:y:2007:i:1:p:71-78
    DOI: 10.1007/s10203-007-0068-6
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    References listed on IDEAS

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    1. Wolfgang J. Runggaldier & Anna Zaccaria, 2000. "A Stochastic Control Approach to Risk Management Under Restricted Information," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 277-288, April.
    2. M. Avellaneda & A. Levy & A. ParAS, 1995. "Pricing and hedging derivative securities in markets with uncertain volatilities," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(2), pages 73-88.
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