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

DOI10.1007/s10436-010-0149-3zbMath1298.91141MaRDI QIDQ470525

Ha-Young Kim, Frederi G. Viens

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-010-0149-3

zbMATH Keywords

stochastic volatility; Monte Carlo method; portfolio optimization; transaction costs; particle filtering; discrete trading

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G10: Portfolio theory

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