High-Frequency Exponential-Utility Maximization Under Fractional Brownian Motion

By Yan Dolinsky

Published 2026-08-07

Everscope rating

1544

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

4 / 5

About this paper

Methodology: Spectral analysis of stationary Gaussian sequences with Szegő limit theorem. Problem types: Portfolio Optimization, Optimization, Risk Management.

arXiv:2608.05357 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.