Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
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References listed on IDEAS
- Ionuţ Florescu & Frederi Viens, 2008. "Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree," Applied Mathematical Finance, Taylor & Francis Journals, pages 151-181.
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- Marek Kociñski, 2014. "Transaction Costs And Market Impact In Investment Management," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 10(4), pages 28-35, May.
- Chen, Yan & Wang, Xuancheng, 2015. "A hybrid stock trading system using genetic network programming and mean conditional value-at-risk," European Journal of Operational Research, Elsevier, vol. 240(3), pages 861-871.
- Yi, Bo & Li, Zhongfei & Viens, Frederi G. & Zeng, Yan, 2013. "Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 601-614.
More about this item
KeywordsPortfolio optimization; Stochastic volatility; Particle filtering; Monte-Carlo method; Discrete trading; Transaction costs; C6; C4; G1;
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- G1 - Financial Economics - - General Financial Markets
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