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most citedIn-Sample and Out-of-Sample Sharpe Ratios for Linear Predictive Models

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math.PR2014

Two examples of non strictly convex large deviations

Stefano De Marco, Antoine Jacquier, Patrick Roome

We present two examples of a large deviations principle where the rate function is not strictly convex. This is motivated by a model used in mathematical finance (the Heston model)…