10 citations · 12 across the 5 of their papers we have counts for
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q-fin.PM2020
Wealth Effect on Portfolio Allocation in Incomplete Markets
Chenxu Li, Olivier Scaillet, Yiwen Shen
We develop a novel five-component decomposition of optimal dynamic portfolio choice, which reveals the simultaneous impacts from market incompleteness and wealth-dependent utilitie…
stat.ME2020
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data
Davide La Vecchia, Alban Moor, Olivier Scaillet
We develop and implement a novel fast bootstrap for dependent data. Our scheme is based on the i.i.d. resampling of the smoothed moment indicators. We characterize the class of par…