Mispricing: failure to capture the risk preferences dependent on market states.
Hongwei XingHanying WangFeiyang ChengShouyu YaoPublished in: Ann. Oper. Res. (2023)
Keyphrases
- decision making
- black scholes
- risk neutral
- partial knowledge
- risk evaluation
- financial crisis
- risk aversion
- risk averse
- portfolio management
- high risk
- market data
- risk measures
- financial markets
- soft constraints
- risk management
- financial data
- initial state
- investment decisions
- risk factors
- investment strategies
- risk assessment
- individual preferences
- portfolio optimization
- failure prediction
- preference relations
- stock price
- user preferences
- decision support system