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

DOI10.1137/15M1027073zbMath1410.91423arXiv1506.06180OpenAlexW3123463686MaRDI 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 volatilityportfolio optimizationlocal volatilityMerton problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (12)

Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio ⋮ A General Valuation Framework for SABR and Stochastic Local Volatility Models ⋮ Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment ⋮ Asymptotic Approximation of Optimal Portfolio for Small Time Horizons ⋮ Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility ⋮ Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy ⋮ Trading Foreign Exchange Triplets ⋮ OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT ⋮ Output regulation control for switched stochastic delay systems with dissipative property under error-dependent switching ⋮ Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment ⋮ Portfolio optimization for assets with stochastic yields and stochastic volatility ⋮ Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model

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