Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio

DOI10.1137/15M1027073zbMath1410.91423arXiv1506.06180MaRDI QIDQ3188150

Matthew Lorig, Ronnie Sircar

Publication date: 17 August 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.06180

zbMATH Keywords

stochastic volatility; portfolio optimization; local volatility; Merton problem

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G10: Portfolio theory

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