This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can … consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the …

different frequencies but also due to the preservation of high-frequency features such as time-varying volatility. Temporally … aggregated models misspecify the evolution frequency of the volatility dynamics, resulting in poor volatility timing and worse … mixed-frequency nature of predictors and volatility in predictive regressions …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …