Representative Agent Pricing of Financial Assets Based on Lévy Processes with Normal Inverse Gaussian Marginals.
Knut K. AasePublished in: Ann. Oper. Res. (2002)
Keyphrases
- financial markets
- fractional brownian motion
- financial risk
- decision making
- multi agent
- stock market
- multi agent systems
- multiagent systems
- portfolio selection
- intelligent agents
- stock price
- marginal distributions
- mobile agents
- agent model
- agent architecture
- multiple agents
- graphical models
- message passing
- risk management
- maximum likelihood
- computational models
- belief propagation
- action selection
- probability distribution
- short term
- probabilistic model
- mental imagery
- gaussian mixture
- portfolio optimization
- pedagogical agents
- autonomous agents
- dynamic environments