Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets.

Frédéric Abergel Nicolas Millot

Published in: SIAM J. Financial Math. (2011)

Keyphrases

risk minimization
financial markets
transaction costs
empirical risk
loss function
line search
uniform convergence
generalization error
missing data
stock price
risk management
portfolio selection
multi category
hinge loss
option pricing
upper bound
learning environment
support vector