Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio (Q3188150): Difference between revisions

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Latest revision as of 11:47, 30 July 2024

scientific article
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Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio
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    Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio (English)
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    17 August 2016
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    stochastic volatility
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    local volatility
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    Merton problem
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    portfolio optimization
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