most citedOptimal relaxed portfolio strategies for growth rate maximization problems with transaction costs

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math.PR2013

Moment based estimation of supOU processes and a related stochastic volatility model

Robert Stelzer, Thomas Tosstorff, Marc Wittlinger

After a quick review of superpositions of OU (supOU) processes, integrated sup\-OU processes and the supOU stochastic volatility model we estimate these processes by using the gene…