Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio (Q3188150): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 05:41, 4 February 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)
0 references
17 August 2016
0 references
stochastic volatility
0 references
local volatility
0 references
Merton problem
0 references
portfolio optimization
0 references