3 papers
stat.ME2019
Synthetic estimation for the complier average causal effect
Denis Agniel, Bing Han, Matthew Cefalu
We propose an improved estimator of the complier average causal effect (CACE). Researchers typically choose a presumably-unbiased estimator for the CACE in studies with noncomplian…
q-fin.PM2019
Merton's portfolio problem under Volterra Heston model
Bingyan Han, Hoi Ying Wong
This paper investigates Merton's portfolio problem in a rough stochastic environment described by Volterra Heston model. The model has a non-Markovian and non-semimartingale struct…
q-fin.PM2019
Mean-variance portfolio selection under Volterra Heston model
Bingyan Han, Hoi Ying Wong
Motivated by empirical evidence for rough volatility models, this paper investigates continuous-time mean-variance (MV) portfolio selection under the Volterra Heston model. Due to…