Optimal investment with transaction costs and stochastic volatility Part II: Finite Horizon

Maxim Bichuch, Ronnie Sircar

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish (US)
Pages (from-to)437-467
Number of pages31
JournalSIAM Journal on Control and Optimization
Volume57
Issue number1
DOIs
StatePublished - Jan 1 2019

All Science Journal Classification (ASJC) codes

  • Control and Optimization
  • Applied Mathematics

Keywords

  • Asymptotic analysis
  • Optimal investment
  • Stochastic volatility
  • Transaction costs
  • Utility maximization

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