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"Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment."

Jean-Pierre Fouque, Ruimeng Hu (2018)

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DOI: 10.1137/17M1134068

access: closed

type: Journal Article

metadata version: 2023-03-21

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Jean-Pierre Fouque, Ruimeng Hu:
Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment. SIAM J. Financial Math. 9(2): 564-601 (2018)

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