Volatility Targeting Using Delayed Diffusions (Q4562721): Difference between revisions

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Latest revision as of 12:18, 29 August 2024

scientific article; zbMATH DE number 6994529
Language Label Description Also known as
English
Volatility Targeting Using Delayed Diffusions
scientific article; zbMATH DE number 6994529

    Statements

    Volatility Targeting Using Delayed Diffusions (English)
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    18 December 2018
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    target volatility
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    portfolio strategy
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    stochastic delayed differential equations
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    finite-dimensional Markovian representation
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    guarantee costs
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    Euler scheme
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    Identifiers