The Elasticity of Volatility and Correlation (CEVC) Model: Empirical Evidence and Application in Portfolio Optimization
Volatility and Correlation in Portfolio Optimization: A proposed model allowing for constant elasticity of volatility and correlation proves significant for pricing and portfolio optimization, offering straightforward solutions for allocations and value functions.
Featured in No. 18 on 4 Oct 2023 · · 0 citations today
- Released
- 17 May 2023
- First featured
- No. 18 · 4 Oct 2023
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- Identifier
- SSRN 4586750
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