Practical investment strategies under a multi-scale Heston's stochastic volatility model (Q4593282)
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scientific article; zbMATH DE number 6810978
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| English | Practical investment strategies under a multi-scale Heston's stochastic volatility model |
scientific article; zbMATH DE number 6810978 |
Statements
PRACTICAL INVESTMENT STRATEGIES UNDER A MULTI-SCALE HESTON'S STOCHASTIC VOLATILITY MODEL (English)
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22 November 2017
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multi-scale Heston's model
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HARA utility function
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optimal investment strategy
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practical strategy
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0.8231486082077026
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0.8127666115760803
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0.8065117597579956
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0.8001824021339417
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