Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio-Reference-Cited by-同舟云学术

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

Published:2016-01 Issue:1 Volume:7 Page:418-447
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Lorig Matthew,Sircar Ronnie

Funder

Division of Mathematical Sciences

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

http://epubs.siam.org/doi/pdf/10.1137/15M1027073

Reference9 articles.

1. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

2. Parametrix Approximation of Diffusion Transition Densities

3. PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT

4. Analytical Expansions for Parabolic Equations

5. A family of density expansions for Lévy-type processes

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5. MULTI-ASSET PORTFOLIO OPTIMIZATION WITH STOCHASTIC SHARPE RATIO UNDER DRAWDOWN CONSTRAINT;Annals of Financial Economics;2020-03

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