Pricing Kernels with Stochastic Skewness and Volatility Risk.
Fousseni Chabi-YoPublished in: Manag. Sci. (2012)
Keyphrases
- financial markets
- portfolio selection
- black scholes
- risk management
- portfolio optimization
- financial crisis
- portfolio management
- risk measures
- early warning
- stock price
- kernel function
- support vector
- stock market
- chance constraints
- risk assessment
- kernel methods
- stochastic model
- stochastic programming
- option pricing
- monte carlo
- decision making
- chance constrained programming
- multiple kernel learning
- risk factors
- stock returns
- chinese stock market