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Mean Variance Optimizer

Univariate Models

Quantstar's calibration system has the following univariate models available:
Basic Model
Heston Model
* Includes a stochastic volatility and time dependent term.
Ornstein-Uhlenbeck Model
* Includes a stochastic volatility and time dependent term
Hull-White Model
* One factor model
* Includes a stochastic volatility and time dependent term.
Merton Jump Model
* Includes a stochastic volatility and time dependent term.
* Jumps and jump sizes are randomly distributed.
 
The selection of these models has been done to cover all the assets which make up the investment portfolios of our customers. Hence, the Heston Model will be used for modeling the returns of commodities and hedge funds, the Ornstein-Uhlenbeck Model is also useful for commodities and hedge funds. The Hull-White Model is used for modeling the interest rates and hence is applicable for all fixed income instruments. Finally, the Merton Jump Model is used for modeling of equities. The Basic Model proposed here assumes volatility and expected return to be constant and it can be used to model any security
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