Mean-Variance Hedging When There Are Jumps.
Andrew E. B. LimPublished in: SIAM J. Control. Optim. (2005)
Keyphrases
- portfolio selection
- financial markets
- transaction costs
- markov chain
- option pricing
- portfolio optimization
- quasi linear
- utility function
- risk management
- exchange rate
- stock market
- convertible bonds
- robust optimization
- supply chain
- state space
- high level
- search engine
- artificial intelligence
- data mining
- efficient frontier
- databases