On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy.

Robert J. Elliott Tak Kuen Siu

Published in: Ann. Oper. Res. (2010)

Keyphrases

black scholes
option pricing
financial markets
fuzzy numbers
portfolio selection
stock exchange
numerical methods
portfolio optimization
stock price
stock market
neural network
non stationary
decision analysis
differential equations
short term
text mining
information extraction