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Sponsored Artificial Intelligence: A Modern Approach, Global Edition Artificial Intelligence: A Modern Approach, Global Edition

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Touch Toem

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Open access Jul 2026

Closed-Form Covariance Matrix for Portfolio Optimization: Theory and Empirical Evidence Under a Multidimensional Black–Scholes Model with Time-Varying Parameters

This paper develops a model-driven analytical framework for portfolio optimization under a multidimensional Black–Scholes model with time-varying parameters, where both the drift and volatility functions evolve linearly over time. Within this framework, explicit closed-form expressions are derived for the covariance ma...

Touch Toem, S. Rujivan, Angelo E. Marasigan · 0 citations

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