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Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio
8 references·1 citing·44 second hopsampled
Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio (2016)Portfolio Optimization under Local-Stocha…A family of density expansions for Levy-type processes with default (2015)A family of density expansion…Adjoint Expansions in Local Lévy Models (2013)Adjoint Expansions in Local L…Analytical Approximation of the Transition Density in a Local Volatility Model (2011)Analytical Approximation of t…Parametrix Approximation of Diffusion Transition Densities (2010)Parametrix Approximation of D…Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets (2005)Dynamic Consumption and Portf…PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT (2002)PARTIAL HEDGING IN A STOCHAST…A solution approach to valuation with unhedgeable risks (2001)A solution approach to valuat…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT (2018)OPTIMAL LIQUIDATION UNDER STO…Optimum consumption and portfolio rules in a continuous-time model (1971)VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)Stochastic Differential Equations (2003)Controlled Markov Processes and Viscosity Solutions (2005)Indifference Pricing (2008)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)The valuation of options for alternative stochastic processes (1976)Efficient Analytic Approximation of American Option Values (1987)Derivatives in Financial Markets with Stochastic Volatility (2000)Approximations for Asian options in local volatility models (2012)A probabilistic interpretation of the parametrix method ∗ (2014)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability (2005)Correlation Risk and Optimal Portfolio Choice (2010)Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options (2010)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Saddlepoint approximations for affine jump-diffusion models (2008)Convergence by Viscosity Methods in Multiscale Financial Models with Stochastic Volatility (2010)Filtering and portfolio optimization with stochastic unobserved drift in asset returns (2015)Optimal control of execution costs (1998)Optimal execution of portfolio transactions (2001)Decentralised Finance and Automated Market Making: Execution and Speculation (2022)Optimal execution with stochastic delay (2022)Optimal Trading with Signals and Stochastic Price Impact (2022)The Variance Gamma Process and Option Pricing (1998)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS (2016)The forward smile in local–stochastic volatility models (2016)The exact Taylor formula of the implied volatility (2017)An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs (1997)Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)PDE and Martingale Methods in Option Pricing (2011)Option pricing when underlying stock returns are discontinuous (1976)Option valuation using the fast Fourier transform (1999)The Smile of Certain Lévy-Type Models (2013)
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References

  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2005Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets418 cited
  • 2001A solution approach to valuation with unhedgeable risks330 cited
  • 2011Analytical Approximation of the Transition Density in a Local Volatility Model61 cited
  • 2010Parametrix Approximation of Diffusion Transition Densities48 cited
  • 2002PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT48 cited
  • 2013Adjoint Expansions in Local Lévy Models42 cited
  • 2015A family of density expansions for Levy-type processes with default30 cited

Cited by

  • 2018OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT24 cited

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