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- W3124136355 abstract "We revisit the classical Merton's optimal allocation problem and show that significant corrections to the Merton ratio arise from hard to observe behaviour of the volatility process around zero. Having regularised this behaviour, we show that the adjustment to the myopic Merton ratio can be largely deduced from observed option prices, which paves the way to a practical approach to the more efficient asset allocation." @default.
- W3124136355 created "2021-02-01" @default.
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- W3124136355 date "2018-01-01" @default.
- W3124136355 modified "2023-09-27" @default.
- W3124136355 title "Optimal Investment Problem in Stochastic and Local Volatility Models" @default.
- W3124136355 doi "https://doi.org/10.2139/ssrn.3265987" @default.
- W3124136355 hasPublicationYear "2018" @default.
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