%0 Journal Article %1 journals/siamfm/LorigS16 %A Lorig, Matthew J. %A Sircar, Ronnie %D 2016 %J SIAM J. Financial Math. %K dblp %N 1 %P 418-447 %T Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio. %U http://dblp.uni-trier.de/db/journals/siamfm/siamfm7.html#LorigS16 %V 7

@article{journals/siamfm/LorigS16, added-at = {2017-01-26T00:00:00.000+0100}, author = {Lorig, Matthew J. and Sircar, Ronnie}, biburl = {https://www.bibsonomy.org/bibtex/2282196cbbe37ed484c62ab4d5720a8f9/dblp}, ee = {http://dx.doi.org/10.1137/15M1027073}, interhash = {68788bbbea49efbc2eb07f9f74e348d1}, intrahash = {282196cbbe37ed484c62ab4d5720a8f9}, journal = {SIAM J. Financial Math.}, keywords = {dblp}, number = 1, pages = {418-447}, timestamp = {2017-01-27T11:34:56.000+0100}, title = {Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio.}, url = {http://dblp.uni-trier.de/db/journals/siamfm/siamfm7.html#LorigS16}, volume = 7, year = 2016 }