Portfolio Optimization under Fast Mean-reverting and Rough Fractional Stochastic Environment
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Cited by:
- Nicole Bauerle & Sascha Desmettre, 2018. "Portfolio Optimization in Fractional and Rough Heston Models," Papers 1809.10716, arXiv.org, revised May 2019.
- E. Boguslavskaya & M. Boguslavsky & D. Muravey, 2020. "Trading multiple mean reversion," Papers 2009.09816, arXiv.org.
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