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20182021
most citedLinear--Quadratic control for a class of stochastic Volterra equations: solvability and approximation

12 citations · 12 across the 3 of their papers we have counts for

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math.OC2020

Markowitz portfolio selection for multivariate affine and quadratic Volterra models

Eduardo Abi Jaber, Enzo Miller, Huyên Pham

This paper concerns portfolio selection with multiple assets under rough covariance matrix. We investigate the continuous-time Markowitz mean-variance problem for a multivariate cl…