Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio
“We also analyze the `implied Sharpe ratio' and derive a series approximation for this quantity.”
StrategyPortfolio optimization
TechniqueMathematical derivation
ClaimSharpe ratio
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPortfolio optimization by year
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