Exchange options with stochastic liquidity risk.
Puneet PasrichaXin-Jiang HePublished in: Expert Syst. Appl. (2023)
Keyphrases
- portfolio optimization
- risk management
- chance constraints
- risk analysis
- stochastic nature
- stochastic programming
- high risk
- risk assessment
- stochastic optimization
- financial markets
- neural network
- stochastic processes
- stochastic models
- risk averse
- optimization methods
- monte carlo
- early warning
- decision makers
- exchange information
- state space
- website
- decision making