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Numeraire-invariant quadratic hedging and mean–variance portfolio all

Publication: Numeraire-invariant quadratic hedging and mean--variance portfolio allocation. Published Oct 18, 2021.

Research & Papers
arxiv.orgPublished Oct 18, 2021
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Overview

Publication: Numeraire-invariant quadratic hedging and mean--variance portfolio allocation. Published Oct 18, 2021.

Publication information

Publication title
Numeraire-invariant quadratic hedging and mean--variance portfolio allocation
Authors
Aleš Černý, Christoph Czichowsky, Jan Kallsen
Published
Oct 18, 2021
Last publication revision
Jul 7, 2025
Venue / journal
Mathematics of Operations Research 49(2), 752-781, 2024
Subject areas
math.OC, q-fin.PM
DOI
10.1287/moor.2023.1374 ↗
Publication source
arxiv.org · abs/2110.09416v4 ↗

Source: arXiv API · observed Oct 11, 2026.

Source links & provenance

https://arxiv.org/abs/2110.09416 ↗

Discovery references

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Screenshot unavailableResource information and source links remain available. DeepIntoStreams/TSFM_Finance — reviewed source website screenshot
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DeepIntoStreams/TSFM_Finance

github.com

the official implementation of the paper “Re(visiting) Time Series Foundation Models in Finance”.

GitHub stars
31
Language
Jupyter Notebook
Code license
Apache-2.0
foundation-modeltime-seriesresearch-lab
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