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

DOI10.1007/s10436-010-0149-3zbMath1298.91141OpenAlexW1990001525MaRDI 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 volatilityMonte Carlo methodportfolio optimizationtransaction costsparticle filteringdiscrete trading

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Related Items (4)

A hybrid stock trading system using genetic network programming and mean conditional value-at-risk ⋮ Estimation and pricing under long-memory stochastic volatility ⋮ Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model ⋮ Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria

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