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Capital Asset Pricing Model (CAPM) with drawdown measure.

Michael ZabarankinKonstantin PavlikovStan Uryasev
Published in: Eur. J. Oper. Res. (2014)
Keyphrases
  • pricing model
  • convertible bonds
  • bi level
  • neural network
  • decision making
  • dynamic pricing
  • case study
  • reinforcement learning
  • supply chain
  • real option