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"Portfolio Optimization under Local-Stochastic Volatility: Coefficient ..."

Matthew J. Lorig, Ronnie Sircar (2016)

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DOI: 10.1137/15M1027073

access: closed

type: Journal Article

metadata version: 2017-05-17

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Matthew J. Lorig, Ronnie Sircar:
Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio. SIAM J. Financial Math. 7(1): 418-447 (2016)

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