Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon

DOI10.1137/18M1208459zbMath1419.91578MaRDI QIDQ4614937

Maxim Bichuch, Ronnie Sircar

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

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

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