On risk measures, market making, and exponential families.
Jacob D. AbernethyRafael M. FrongilloSindhu KuttyPublished in: SIGecom Exch. (2014)
Keyphrases
- risk measures
- exponential family
- maximum likelihood
- risk averse
- density estimation
- log likelihood
- graphical models
- missing values
- closed form
- statistical models
- order statistics
- portfolio selection
- mixture model
- stock market
- probability density function
- variational methods
- stock exchange
- portfolio optimization
- portfolio management