A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios.
Stanley R. PliskaPublished in: Math. Oper. Res. (1986)
Keyphrases
- stochastic model
- mathematical model
- cost function
- management system
- conceptual model
- data sets
- computational model
- closed form
- high level
- statistical model
- objective function
- optimal solution
- probabilistic model
- experimental data
- parameter estimation
- worst case
- hidden markov models
- bayesian networks
- image sequences
- feature selection
- genetic algorithm
- neural network