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 | |
| 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