{"id":"https://openalex.org/W3123463686","doi":"https://doi.org/10.1137/15m1027073","title":"Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio","display_name":"Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio","publication_year":2016,"publication_date":"2016-01-01","ids":{"openalex":"https://openalex.org/W3123463686","doi":"https://doi.org/10.1137/15m1027073","mag":"3123463686"},"language":"en","primary_location":{"id":"doi:10.1137/15m1027073","is_oa":false,"landing_page_url":"https://doi.org/10.1137/15m1027073","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5029466911","display_name":"Matthew Lorig","orcid":"https://orcid.org/0000-0001-5307-3447"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Matthew Lorig","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5039402165","display_name":"Ronnie Sircar","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Ronnie Sircar","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":7.9998,"has_fulltext":false,"cited_by_count":25,"citation_normalized_percentile":{"value":0.97348368,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"7","issue":"1","first_page":"418","last_page":"447"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9952999949455261,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9940999746322632,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.6351046562194824},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6309860944747925},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.6244738101959229},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"Geometric Brownian motion","score":0.5270838141441345},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.490013986825943},{"id":"https://openalex.org/keywords/local-volatility","display_name":"Local volatility","score":0.4773569107055664},{"id":"https://openalex.org/keywords/taylor-series","display_name":"Taylor series","score":0.4681815207004547},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4479873478412628},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.4454341232776642},{"id":"https://openalex.org/keywords/differential-operator","display_name":"Differential operator","score":0.43999359011650085},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.43344229459762573},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.43066102266311646},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.3423561453819275},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.33403849601745605},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.24219194054603577},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.23273903131484985},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.19492539763450623},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.15403145551681519},{"id":"https://openalex.org/keywords/diffusion-process","display_name":"Diffusion process","score":0.08839544653892517}],"concepts":[{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.6351046562194824},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6309860944747925},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6244738101959229},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.5270838141441345},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.490013986825943},{"id":"https://openalex.org/C2779834249","wikidata":"https://www.wikidata.org/wiki/Q6664586","display_name":"Local volatility","level":4,"score":0.4773569107055664},{"id":"https://openalex.org/C158946198","wikidata":"https://www.wikidata.org/wiki/Q131187","display_name":"Taylor series","level":2,"score":0.4681815207004547},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4479873478412628},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.4454341232776642},{"id":"https://openalex.org/C70915906","wikidata":"https://www.wikidata.org/wiki/Q1058681","display_name":"Differential operator","level":2,"score":0.43999359011650085},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.43344229459762573},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.43066102266311646},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.3423561453819275},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.33403849601745605},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.24219194054603577},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.23273903131484985},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.19492539763450623},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.15403145551681519},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.08839544653892517},{"id":"https://openalex.org/C136264566","wikidata":"https://www.wikidata.org/wiki/Q159810","display_name":"Economy","level":1,"score":0.0},{"id":"https://openalex.org/C2780378061","wikidata":"https://www.wikidata.org/wiki/Q25351891","display_name":"Service (business)","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/15m1027073","is_oa":false,"landing_page_url":"https://doi.org/10.1137/15m1027073","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G7750935986","display_name":null,"funder_award_id":"1211906","funder_id":"https://openalex.org/F4320337380","funder_display_name":"Division of Mathematical Sciences"},{"id":"https://openalex.org/G8032060725","display_name":null,"funder_award_id":"0739195","funder_id":"https://openalex.org/F4320337380","funder_display_name":"Division of Mathematical Sciences"}],"funders":[{"id":"https://openalex.org/F4320337380","display_name":"Division of Mathematical Sciences","ror":"https://ror.org/051fftw81"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":9,"referenced_works":["https://openalex.org/W1968051860","https://openalex.org/W1973003145","https://openalex.org/W1979878470","https://openalex.org/W1984697146","https://openalex.org/W2009841254","https://openalex.org/W3122163857","https://openalex.org/W3123115509","https://openalex.org/W3124430067","https://openalex.org/W3124880381"],"related_works":["https://openalex.org/W4225637079","https://openalex.org/W4402416235","https://openalex.org/W3173433198","https://openalex.org/W4386641461","https://openalex.org/W4387869846","https://openalex.org/W4387737582","https://openalex.org/W4386638991","https://openalex.org/W4206020882","https://openalex.org/W2033242254","https://openalex.org/W4389993474"],"abstract_inverted_index":{"We":[0,33],"study":[1],"the":[2,25,29,36,53,73,86,102,123,140,163],"finite":[3],"horizon":[4],"Merton":[5],"portfolio":[6],"optimization":[7],"problem":[8],"in":[9,144,147,158],"a":[10,42,77,97,118,135],"general":[11,91],"local-stochastic":[12],"volatility":[13,150],"setting.":[14],"Using":[15],"model":[16],"coefficient":[17],"expansion":[18],"techniques,":[19],"we":[20,133],"derive":[21,41],"approximations":[22,129,143],"for":[23,45,90,139],"both":[24],"value":[26,54,87],"function":[27,55,88],"and":[28,40,56],"optimal":[30,57],"investment":[31,58],"strategy.":[32],"also":[34,114],"analyze":[35],"\u201cimplied":[37],"Sharpe":[38],"ratio\u201d":[39],"series":[43],"approximation":[44,51],"this":[46,145],"quantity.":[47],"The":[48,81],"zeroth":[49,103,124],"order":[50,83,104,111,125,142,159],"of":[52,85,154,165],"strategy":[59],"correspond":[60],"to":[61,160],"those":[62],"obtained":[63],"by":[64],"[Merton,":[65],"Rev.":[66],"Econ.":[67],"Statist.,":[68],"51,":[69],"pp.":[70],"247--257]":[71],"when":[72],"risky":[74],"asset":[75],"follows":[76],"geometric":[78],"Brownian":[79],"motion.":[80],"first":[82],"correction":[84],"can,":[89],"utility":[92,108],"functions,":[93,109],"be":[94,115],"expressed":[95],"as":[96,117],"differential":[98,119],"operator":[99,120],"acting":[100,121],"on":[101,122],"term.":[105,126],"For":[106],"power":[107],"higher":[110,141],"terms":[112],"can":[113],"computed":[116],"While":[127],"our":[128,166],"are":[130,156],"derived":[131],"formally,":[132],"give":[134],"rigorous":[136],"accuracy":[137,164],"bound":[138],"case":[146],"pure":[148],"stochastic":[149],"models.":[151],"A":[152],"number":[153],"examples":[155],"provided":[157],"demonstrate":[161],"numerically":[162],"approximations.":[167]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":8},{"year":2017,"cited_by_count":5},{"year":2016,"cited_by_count":1}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}
