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20192021
most citedHierarchical PCA and Modeling Asset Correlations

1 citations · 1 across the 3 of their papers we have counts for

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q-fin.RM2021

Delta Hedging with Transaction Costs: Dynamic Multiscale Strategy using Neural Nets

G. Mazzei, F. G. Bellora, J. A. Serur

In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversi…