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The SEV-SV model : applications in portfolio optimization
Escobar, Marcos
;
Fan, Weili
- In:
Risks : open access journal
11
(
2023
)
2
,
pp. 1-34
optimization. The diffusion model combines (
stochastic
)
elasticity
of
volatility
(EV) and stochastic volatility (SV) to create the …
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