Comonotonic asset prices in arbitrage-free markets.
Jan DhaeneAlexander KukushDaniël LindersPublished in: J. Comput. Appl. Math. (2020)
Keyphrases
- financial markets
- market data
- stock price
- market equilibrium
- stock market
- market participants
- market prices
- bidding strategies
- portfolio selection
- spot market
- online markets
- electricity markets
- risk management
- market clearing
- search costs
- trading strategies
- market conditions
- portfolio theory
- trading systems
- long run
- pricing strategies
- transaction costs
- electric power
- exchange rate
- information technology
- learning algorithm