A Markovian regime-switching stochastic differential game for portfolio risk minimization.
Robert J. ElliottTak Kuen SiuPublished in: ACC (2008)
Keyphrases
- risk minimization
- point processes
- loss function
- transaction costs
- empirical risk
- video games
- game theory
- computer games
- generalization error
- game playing
- multi category
- hinge loss
- game play
- uniform convergence
- line search
- nash equilibrium
- monte carlo
- training data
- portfolio selection
- data sets
- support vector
- machine learning