Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio
Lorig, Matthew, Sircar, RonnieVolume:
7
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/15M1027073
Date:
January, 2016
File:
PDF, 373 KB
english, 2016