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Fig. 7 | Probability, Uncertainty and Quantitative Risk

Fig. 7

From: Zero covariation returns

Fig. 7

The graph show the zero covariation portfolio value computed as a distorted expectation of portfolio returns when local parameters of bilateral gamma motion depend nonlinearly on the two prices. The nonlinear dependence is estimated using support vector machine regressions. The value is presented as a function of the Proportion invested in the stock JPM

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