Risk averse asymptotics in a Black-Scholes market on a finite time horizon.
Peter GranditsStefan ThonhauserPublished in: Math. Methods Oper. Res. (2011)
Keyphrases
- stock market
- black scholes
- risk averse
- stock exchange
- financial markets
- stock price
- portfolio management
- risk neutral
- option pricing
- financial data
- transaction costs
- risk aversion
- decision makers
- utility function
- stochastic programming
- financial time series
- expected utility
- sufficient conditions
- markov chain
- decision support system
- decision making
- decision analysis
- genetic algorithm
- fuzzy numbers
- sensitivity analysis
- evolutionary algorithm
- optimal solution