The implied Sharpe ratio
Year of publication: |
2020
|
---|---|
Authors: | Agarwal, Ankush ; Lorig, Matthew |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 6, p. 1009-1026
|
Subject: | Heston | PDE asymptotics | Reciprocal Heston | Sharpe ratio | Stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Kapitaleinkommen | Capital income |
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