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Probability, Uncertainty and Quantitative Risk
Fig. 8 | Probability, Uncertainty and Quantitative Risk

Fig. 8

From: Zero covariation returns

Fig. 8

Mark to market value of conservative portfolio value maximizing portfolio with zero covariation dependence modeling using support vector machine regressions of bilateral gamma process parameters. The portfolios were rebalanced every 21 days. The dependence modeling used prior 252 day support vector machine regressions of local parameters of bilateral gamma motion on all asset prices in the portfolio. Also shown are the price paths of the components

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