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
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio |
scientific article |
Statements
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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