Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility (Q470525)
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scientific article; zbMATH DE number 6368842
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility |
scientific article; zbMATH DE number 6368842 |
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Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility (English)
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12 November 2014
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portfolio optimization
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stochastic volatility
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particle filtering
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Monte Carlo method
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discrete trading
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transaction costs
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