Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon
نویسندگان
چکیده
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 subject classification G11.
منابع مشابه
Optimal 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, ...
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