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~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Quantitative finance"
~person:"Cheng, Yuyang"
~subject:"Portfolio-Management"
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Portfolio-Management
4/2 stochastic volatility model
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Cheng, Yuyang
Lucas, André
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Vries, Casper G. de
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Dijk, Herman K. van
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Discussion paper / Tinbergen Institute
Quantitative finance
IMA journal of management mathematics
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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
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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
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