References
- Markowitz , H.M. 1952 . Portfolio selection . Journal of Finance 7 ( 1 ): 77 – 91 .
- Samuelson , P.A. 1969 . Lifetime portfolio selection by dynamic stochastic programming . Review of Economics and Statistics 51 : 239 – 246 .
- Merton , R.C. 1969 . Lifetime portfolio selection under uncertainty: The continuous-time model . Review of Economics and Statistics 51 : 247 – 257 .
- Merton , R.C. 1971 . Optimal consumption and portfolio rules in a continuous time model . Journal of Economic Theory 3 : 373 – 413 .
- Geman , H. , Madan , D.B. , and Yor , M. 2001 . Time changes for Lévy processes . Mathematical Finance 11 : 79 – 96 .
- Carr , P. , Geman , H. , Madan , D.B. , and Yor , M. 2002 . The fine structure of asset returns: An empirical investigation . Journal of Business 75 : 305 – 332 .
- Taylor , S.J. 2008 . An econometric defence of pure-jump price dynamics. Preprint . Department of Accounting and Finance , Lancaster University , UK .
- Elliott , R.J. , and Osakwe , C.J.U. 2006 . Option pricing for pure jump processes with Markov switching compensators . Finance and Stochastics 10 : 250 – 275 .
- Elliott , R.J. , Chan , L.L. , and Siu , T.K. 2006 . Risk Measures for Derivatives with Markov-Modulated Pure Jump Processes . Asia-Pacific Financial Markets 13 ( 2 ): 129 – 149 .
- Elliott , R.J. , Aggoun , L. , and Moore J.B. 1995 . Hidden Markov Models: Estimation and Control . Springer-Verlag , Berlin .
- Dufour , F. , and Elliott , R.J. 1999 . Filtering with discrete state observations . Applied Mathematics and Optimization 40 : 259 – 272 .
- Frittelli , M. , and Rosazza Gianin , E. 2002 . Putting order in risk measures . Journal of Banking and Finance 26 ( 7 ): 1473 – 1486 .
- Föllmer , H. , and Schied , A. 2002 . Convex measures of risk and trading constraints . Finance and Stochastics 6 : 429 – 447 .
- Artzner , P. , Delbaen , F. , Eber , J. , and Heath , D. 1999 . Coherent measures of risk . Mathematical Finance 9 : 203 – 228 .
- Mataramvura , S. , and Øksendal , B. 2008 . Risk minimizing portfolios and HJB equations for stochastic differential games . Stochastics 80 : 317 – 337 .
- Elliott , R.J. 1982 . Stochastic Calculus and Applications . Springer-Verlag , Berlin .
- Fleming , W.H. , and Rishel , R.W. 1975 . Deterministic and Stochastic Optimal Control . Springer-Verlag , Berlin .
- Øksendal , B. 2003 . Stochastic Differential Equations: An Introduction With Applications . Springer-Verlag , Berlin .
- Elliott , R.J. , and Siu , T.K. 2010 . On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy . Annals of Operations Research 176 ( 1 ): 271 – 291 .
- Elliott , R.J. , and Siu , T.K. 2011 . A BSDE approach to a risk-based optimal investment of an insurer . Automatica 47 ( 2 ): 253 – 428 .
- Siu , T.K. 2012 . A BSDE approach to risk-based asset allocation of pension funds with regime-switching . Annals of Operations Research 201 ( 1 ): 449 – 473 .
- Delbaen , F. , Peng , S. , and Rosazza-Gianin , E. 2010 . Representation of the penalty term of dynamic concave utilities . Finance and Stochastics 14 ( 3 ): 449 – 472 .
- Elliott , R.J. , and Siu , T.K. 2011 . A stochastic differential game for optimal investment of an insurer with regime switching . Quantitative Finance 11 ( 3 ): 365 – 380 .