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

DOI10.1137/140983859zbMath1415.91251arXiv1401.0562OpenAlexW4235123892MaRDI 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 volatilityasymptotic analysistransaction costsutility maximizationoptimal investment

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items

Performance Fees with Stochastic Benchmark ⋮ Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon ⋮ Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy ⋮ Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon

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