Claim pricing and hedging under market incompleteness and "mean-variance" preferences.
Fabio MercurioPublished in: Eur. J. Oper. Res. (2001)
Keyphrases
- financial markets
- portfolio selection
- convertible bonds
- option pricing
- black scholes
- pricing model
- stock price
- investment strategies
- stock market
- financial crisis
- portfolio optimization
- risk management
- decision making
- user preferences
- decision analysis
- financial data
- black scholes model
- stock exchange
- multi attribute
- portfolio management
- trading systems
- soft constraints
- quasi linear
- incomplete information
- transaction costs
- budget constraints
- historical data
- optimal pricing
- non stationary
- social choice
- multiple criteria
- pricing mechanism