Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio.
Matthew J. LorigRonnie SircarPublished in: SIAM J. Financial Math. (2016)
Keyphrases
- taylor series
- portfolio optimization
- sharpe ratio
- stock price
- stock market
- portfolio management
- stock exchange
- portfolio selection
- numerical integration
- financial markets
- non stationary
- problems involving
- short term
- factor analysis
- financial time series
- trading strategies
- risk management
- bi objective
- news articles
- exchange rate
- optimization methods
- historical data
- financial data
- multi objective
- long term
- feature extraction
- dynamic programming
- genetic algorithm
- signal processing