Equilibrium in an ambiguity-averse mean-variance investors market.
Mustafa Ç. PinarPublished in: Eur. J. Oper. Res. (2014)
Keyphrases
- market participants
- risk aversion
- utility function
- investment strategies
- risk averse
- portfolio management
- financial markets
- portfolio selection
- stock market
- market equilibrium
- expected utility
- stock price
- electricity markets
- stock exchange
- portfolio optimization
- market clearing
- financial data
- exchange rate
- nash equilibrium
- quadratic programming
- asset allocation
- quasi linear
- decision makers
- information technology
- optimal pricing
- market prices
- data mining techniques
- linear programming