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In this study, the wavelet multiscale model is applied to selected assets to hedge time-dependent exposure of an agent with a preference for a certain hedging horizon. Based on the in-sample and out-of-sample portfolio variances, the wavelet-based GA
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c2ebd7ce3cf99a51628e7a65c7343b0f
