Optimal Investment with Transaction Costs and Stochastic Volatility
نویسندگان
چکیده
منابع مشابه
Optimal Investment with Transaction Costs and Stochastic Volatility
Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment problem has a long history, especially in the use of asymptotic approximations when the cost is small. Under stochastic volatility, but with no transaction costs, ...
متن کاملOptimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon
In this companion paper to “Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon”, we give an accuracy proof for the finite time optimal investment and consumption problem under fast mean-reverting stochastic volatility of a joint asymptotic expansion in a time scale parameter and the small transaction cost. AMS subject classification 91G80, 60H30. JEL su...
متن کاملOptimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon
Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment problem has a long history, especially in the use of asymptotic approximations when the cost is small. Under stochastic volatility, but with no transaction costs, ...
متن کاملOptimal investment and consumption with transaction costs
An agent can invest in a high—yield bond and a low—yield bond, holding either long or short positions in either asset. Any movement of money between these two assets incurs a transaction cost proportional to the size of the transaction. The low—yield bond is liquid in the sense that wealth invested in this bond can be consumed directly without a transaction cost; wealth invested in the high—yie...
متن کاملOptimal Investment Under Transaction Costs
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d. discrete-time two-asset markets under proportional transaction costs. We then extend our analysis to cover markets having more than two stocks. The market is modele...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2374150