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

Annals of Finance

Volumn 8, Issue 2-3, 2012, Pages 405-425

  Kim, Ha Young ^a   Viens, Frederi G ^a  

^a PURDUE UNIVERSITY   (United States)

Author keywords

Discrete trading; Monte Carlo method; Particle filtering; Portfolio optimization; Stochastic volatility; Transaction costs

Indexed keywords

EID: 84860177485     PISSN: 16142446     EISSN: 16142454     Source Type: Journal    
DOI: 10.1007/s10436-010-0149-3     Document Type: Article

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