1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PR2026
Multiplicative Langevin Process for Volatilities Produces Observed Q-Variance Regularities
William H. Press, Alex Dannenberg
Q-variance (so-called) posits a statistical relationship between an asset's volatility , as observed in a time interval , an…
q-fin.PM2009★ 1 cited
Portfolio Optimization Under Uncertainty
Alex Dannenberg
Classical mean-variance portfolio theory tells us how to construct a portfolio of assets which has the greatest expected return for a given level of return volatility. Utility theo…