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Volatility Targeting Using Delayed Diffusions - MaRDI portal

Volatility Targeting Using Delayed Diffusions (Q4562721)

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scientific article; zbMATH DE number 6994529
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English
Volatility Targeting Using Delayed Diffusions
scientific article; zbMATH DE number 6994529

    Statements

    title
    Volatility Targeting Using Delayed Diffusions (English)
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    author
    Lorenzo Torricelli
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    publication date
    18 December 2018
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    zbMATH Keywords
    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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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    60H10
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    91G60
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    zbMATH DE Number
    6994529
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    OpenAlex ID
    W2581612708
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    Wikidata QID
    Q129270414
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