IDEAS home Printed from https://ideas.repec.org/a/kap/annfin/v8y2012i2p405-425.html
   My bibliography  Save this article

Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility

Author

Listed:
  • Ha-Young Kim

    ()

  • Frederi Viens

    ()

Abstract

No abstract is available for this item.

Suggested Citation

  • Ha-Young Kim & Frederi Viens, 2012. "Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility," Annals of Finance, Springer, vol. 8(2), pages 405-425, May.
  • Handle: RePEc:kap:annfin:v:8:y:2012:i:2:p:405-425
    DOI: 10.1007/s10436-010-0149-3
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10436-010-0149-3
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Ionuţ Florescu & Frederi Viens, 2008. "Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(2), pages 151-181.
    2. M. Dempster & I. Evstigneev & M. Taksar, 2006. "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, vol. 2(4), pages 327-355, October.
    3. Paolo Guasoni & Miklós Rásonyi & Walter Schachermayer, 2010. "The fundamental theorem of asset pricing for continuous processes under small transaction costs," Annals of Finance, Springer, vol. 6(2), pages 157-191, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. 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.
    3. 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

    Keywords

    Portfolio optimization; Stochastic volatility; Particle filtering; Monte-Carlo method; Discrete trading; Transaction costs; C6; C4; G1;

    JEL classification:

    • 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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:annfin:v:8:y:2012:i:2:p:405-425. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.