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isPartOf:"Journal of economic theory"
subject:"Portfolio selection"
~isPartOf:"Quantitative finance"
~person:"Bai, Yang"
~person:"Birge, John R."
~person:"Cheng, Yuyang"
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Portfolio selection
Portfolio-Management
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4/2 stochastic volatility model
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Bai, Yang
Birge, John R.
Cheng, Yuyang
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Journal of economic theory
Quantitative finance
IMA journal of management mathematics
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The value and cost of more stages in stochastic programing : a statistical analysis on a set of portfolio choice problems
Birge, John R.
;
Blomvall, Jörgen
;
Ekblom, Jonas
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 95-112
Persistent link: https://www.econbiz.de/10012872523
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2
A multivariate 4/2 stochastic covariance model : properties and applications to portfolio decisions
Cheng, Yuyang
;
Escobar, Marcos
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 497-519
Persistent link: https://www.econbiz.de/10014232681
Saved in:
3
Optimal investment strategy in the family of 4/2 stochastic volatility models
Cheng, Yuyang
;
Escobar, Marcos
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1723-1751
Persistent link: https://www.econbiz.de/10012653709
Saved in:
4
Portfolio optimization under the generalized hyperbolic distribution : optimal allocation, performance and tail behavior
Birge, John R.
;
Chávez-Bedoya, Luis
- In:
Quantitative finance
21
(
2021
)
2
,
pp. 199-219
Persistent link: https://www.econbiz.de/10012424559
Saved in:
5
Analytic value function for optimal regime-switching pairs trading rules
Bai, Yang
;
Wu, Lan
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 637-654
Persistent link: https://www.econbiz.de/10011906451
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