Self‐similarity in long‐horizon returns

DOI10.1111/mafi.12269OpenAlexW3023267603MaRDI QIDQ5855960

Dilip B. Madan, Wim Schoutens

Publication date: 23 March 2021

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12269

zbMATH Keywords

asset return modelingequity bias for longer horizonsself-similarity and scaling

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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