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Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
Portfolio theory for squared returns correlated across time
1 University of Freiburg, Freiburg im Breisgau, Germany; |
2 University of Maryland, College Park, USA |
References:
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Dilip B. Madan, King Wang. Correlated squared returns. Probability, Uncertainty and Quantitative Risk, 2021, 6 (2) : 139-158. doi: 10.3934/puqr.2021007 |
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