The paper prices swaps on trace and on a constrained portfolio variance mislabeled as the maximum eigenvalue; the trace part is a trivial sum, and the eigenvalue part is conceptually flawed.
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A Proposal for Multi-asset Generalised Variance Swaps
The paper prices swaps on trace and on a constrained portfolio variance mislabeled as the maximum eigenvalue; the trace part is a trivial sum, and the eigenvalue part is conceptually flawed.