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The Journal of Alternative Investments

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Modeling Price Dynamics, Optimal Portfolios, and Option Valuation for Cryptoassets

Yuan Hu, W. Brent Lindquist and Frank J. Fabozzi
The Journal of Alternative Investments Summer 2021, jai.2021.1.133; DOI: https://doi.org/10.3905/jai.2021.1.133
Yuan Hu
is a PhD candidate in the Department of Mathematics & Statistics at Texas Tech University in Lubbock, TX
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W. Brent Lindquist
is a professor of mathematics and statistics at Texas Tech University in Lubbock, TX
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Frank J. Fabozzi
is a professor of finance at EDHEC Business School in Nice, France
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Article Information

jai.2021.1.133
DOI 
https://doi.org/10.3905/jai.2021.1.133

Published By 
Pageant Media Ltd
Print ISSN 
1520-3255
Online ISSN 
2168-8435
History 
  • Published online April 27, 2021.

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  • You are currently viewing a Latest version of this article (April 27, 2021 - 05:12).
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© 2021 Pageant Media Ltd

Author Information

  1. Yuan Hu
    1. is a PhD candidate in the Department of Mathematics & Statistics at Texas Tech University in Lubbock, TX. (yuan.hu{at}ttu.edu)
  2. W. Brent Lindquist
    1. is a professor of mathematics and statistics at Texas Tech University in Lubbock, TX. (brent.lindquist{at}ttu.edu)
  3. Frank J. Fabozzi
    1. is a professor of finance at EDHEC Business School in Nice, France. (frank.fabozzi{at}edhec.edu)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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The Journal of Alternative Investments: 24 (4)
The Journal of Alternative Investments
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Spring 2022
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Modeling Price Dynamics, Optimal Portfolios, and Option Valuation for Cryptoassets
Yuan Hu, W. Brent Lindquist, Frank J. Fabozzi
The Journal of Alternative Investments Apr 2021, jai.2021.1.133; DOI: 10.3905/jai.2021.1.133

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Modeling Price Dynamics, Optimal Portfolios, and Option Valuation for Cryptoassets
Yuan Hu, W. Brent Lindquist, Frank J. Fabozzi
The Journal of Alternative Investments Apr 2021, jai.2021.1.133; DOI: 10.3905/jai.2021.1.133
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  • Article
    • Abstract
    • MULTIVARIATE MODELS FOR CRYPTOASSETS
    • MINIMUM-RISK PORTFOLIOS, CRYPTOASSET INDICES
    • OPTION PRICING
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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