Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models

Eduardo Abi Jaber, Enzo Miller, Huyên Pham. Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models. SIAM J. Financial Math., 12(1):369-409, 2021. [doi]

Authors

Eduardo Abi Jaber

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Enzo Miller

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Huyên Pham

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