A martingale approach for asset allocation with derivative security and hidden economic risk.

Tak Kuen Siu Jinxia Zhu Hailiang Yang

Published in: J. Appl. Probab. (2019)

Keyphrases

asset allocation
portfolio management
risk assessment
optimal portfolio
portfolio selection
portfolio optimization
stock market
information security
intrusion detection
risk management
decision making
transaction costs
artificial intelligence
financial data