2016 Artikel Portfolio theory for squared returns correlated across time.
Portfolio theory for squared returns correlated across time. Preprint (2015). Probability, Uncertainty and Quantitative Risk 1 (1), 1-32 (2016) (with D. B. Madan) (pdf, SSRN, doi:10.1186/s41546-016-0001-4)
The original publication is available at Springer link.
PTSRC7.pdf
—
PDF document,
285 KB (291846 bytes)