No-arbitrage criteria for financial markets with transaction costs and incomplete information.
Dimitri De VallièreYuri KabanovChristophe StrickerPublished in: Finance Stochastics (2007)
Keyphrases
- incomplete information
- financial markets
- transaction costs
- portfolio selection
- stock price
- stock exchange
- stock market
- portfolio management
- portfolio theory
- partial information
- autonomous agents
- risk management
- portfolio optimization
- query answering
- missing information
- historical data
- non stationary
- financial data
- financial time series
- machine learning
- news articles
- mobile robot
- negotiation strategies
- information systems
- artificial intelligence
- data mining