Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon
From MaRDI portal
Publication:4614937
DOI10.1137/18M1208459zbMath1419.91578OpenAlexW3121924014WikidataQ128454256 ScholiaQ128454256MaRDI QIDQ4614937
Publication date: 1 February 2019
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/18m1208459
Related Items (6)
Optimal investment with correlated stochastic volatility factors ⋮ Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy ⋮ Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network ⋮ Optimal Switching between Locking Down and Opening the Economy Because of an Infection ⋮ Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets ⋮ Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
Cites Work
- Unnamed Item
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- Optimal investment and consumption with transaction costs
- The Jacobi stochastic volatility model
- Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
- European option pricing with transaction costs and stochastic volatility: an asymptotic analysis
- Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon
- Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
This page was built for publication: Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon
