Volatility Targeting Using Delayed Diffusions (Q4562721)
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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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