Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
type: Item
instance of: scholarly article
title: Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
zbMATH Open document ID: 1298.91141
author: H. Y. Kim
author: Frederi Viens
published in: Annals of Finance
publication date: 2014-11-12T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6368842
zbMATH Keywords: portfolio optimization
zbMATH Keywords: stochastic volatility
zbMATH Keywords: particle filtering
zbMATH Keywords: Monte Carlo method
zbMATH Keywords: discrete trading
zbMATH Keywords: transaction costs
MaRDI profile type: Publication
full work available at URL: s10436-010-0149-3
OpenAlex ID: W1990001525
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DOI: 10.1007/S10436-010-0149-3
description: scientific article; zbMATH DE number 6368842