Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming.
Mustafa Ç. PinarPublished in: Autom. (2008)
Keyphrases
- convex programming
- financial markets
- trading strategies
- sharpe ratio
- portfolio selection
- portfolio optimization
- convex optimization
- portfolio management
- linear programming
- interior point methods
- stock market
- stock price
- risk management
- primal dual
- kernel learning
- missing data
- trading systems
- stock exchange
- convex functions
- evolutionary algorithm
- low rank
- short term
- semidefinite programming
- feature extraction