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

Maxim Bichuch; Ronnie Sircar

doi:10.1137/18M1208459

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

Maxim Bichuch, Ronnie Sircar

Research output: Contribution to journal › Article › peer-review

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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 language	English (US)
Pages (from-to)	437-467
Number of pages	31
Journal	SIAM Journal on Control and Optimization
Volume	57
Issue number	1
DOIs	https://doi.org/10.1137/18M1208459
State	Published - 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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10.1137/18M1208459

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KW - Asymptotic analysis

KW - Optimal investment

KW - Stochastic volatility

KW - Transaction costs

KW - Utility maximization

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

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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