Volatility targeting using delayed diffusions
Year of publication: |
2018
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Authors: | Torricelli, Lorenzo |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 25.2018, 3/4, p. 213-246
|
Subject: | Target volatility | portfolio strategy | stochastic delayed differential equations | finite-dimensional Markovian representation | guarantee costs | Euler scheme | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Analysis | Mathematical analysis |
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