Continuous-Time Portfolio Selection and Option Pricing under Risk-Minimization Criterion in an Incomplete Market.
Xinfeng RuanWenli ZhuJiexiang HuangShuang LiPublished in: J. Appl. Math. (2013)
Keyphrases
- portfolio selection
- risk minimization
- option pricing
- financial markets
- black scholes
- stock price
- transaction costs
- loss function
- stock market
- stock exchange
- decision analysis
- optimal portfolio
- non stationary
- markov chain
- generalization error
- historical data
- feature selection
- artificial intelligence
- multiple objectives
- exchange rate
- machine learning
- risk management
- news articles
- state space
- real option
- keywords
- decision making