Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon

DOI10.1137/140983859zbMath1415.91251arXiv1401.0562MaRDI QIDQ4596857

Maxim Bichuch, Ronnie Sircar

Publication date: 11 December 2017

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.0562

zbMATH Keywords

stochastic volatility; asymptotic analysis; transaction costs; utility maximization; optimal investment

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G10: Portfolio theory

Related Items

Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon, Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon, Performance Fees with Stochastic Benchmark

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