Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market.
Andrew E. B. LimPublished in: Math. Oper. Res. (2004)
Keyphrases
- portfolio selection
- financial markets
- portfolio management
- multistage stochastic
- stock price
- portfolio optimization
- stock market
- optimal portfolio
- transaction costs
- robust optimization
- stock exchange
- artificial intelligence
- multiple objectives
- short term
- multi objective
- option pricing
- optimal solution
- decision making