Financial regression and organization

MaRDI QIDQ3408235zbMATH OpenFDO

Authors Pakize Taylan, Kasirga Yildirak, Zafer-Korcan Görgülü, Gerhard-Wilhelm Weber

Publication date 25 February 2010

zbMATH Keywords

parameter estimationconic quadratic programmingstochastic controlstochastic differential equationstrilevel problem

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10) Dynamical systems in optimization and economics (37N40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Recommendations

• Stochastic regression and its application to hedging in finance
• Parameter estimation in stochastic differential equations
• Optimal Financial Portfolios
• Use of stochastic and mathematical programming in portfolio theory and practice
• Stochastic modeling and methods in optimal portfolio construction

Cited in

(6)

• On cooperative fuzzy bubbly games
• Mutual relevance of investor sentiment and finance by modeling coupled stochastic systems with MARS
• A new approach to multivariate adaptive regression splines by using Tikhonov regularization and continuous optimization
• Cooperative games under bubbly uncertainty
• Stochastic regression and its application to hedging in finance
• Parameter estimation in stochastic differential equations

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