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3 votes

What are some useful approximations to the Black-Scholes formula?

Arguably the most useful approximation to the Black-Scholes formula would be the approximation made by any universal approximator such as a neural network, granted that it is trained on data following ...
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2 votes

How to understand this convex optimization method to find risk budget portfolio

I believe the problem should be solved in two steps: the optimization without the condition that the sum equals 1, followed by a normalization step which divides w by sum(w) to produce the desired ...
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