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Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility

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  • Ha-Young Kim
  • Frederi Viens

Abstract

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Suggested Citation

  • Ha-Young Kim & Frederi Viens, 2012. "Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility," Annals of Finance, Springer, vol. 8(2), pages 405-425, May.
    • Handle: RePEc:kap:annfin:v:8:y:2012:i:2:p:405-425
    DOI: 10.1007/s10436-010-0149-3
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    References listed on IDEAS

    as
    1. M. H. A. Davis & A. R. Norman, 1990. "Portfolio Selection with Transaction Costs," Mathematics of Operations Research, INFORMS, vol. 15(4), pages 676-713, November.
    2. Ionuţ Florescu & Frederi Viens, 2008. "Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(2), pages 151-181.
    3. M. Dempster & I. Evstigneev & M. Taksar, 2006. "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, vol. 2(4), pages 327-355, October.
    4. Paolo Guasoni & Miklós Rásonyi & Walter Schachermayer, 2010. "The fundamental theorem of asset pricing for continuous processes under small transaction costs," Annals of Finance, Springer, vol. 6(2), pages 157-191, March.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Yi, Bo & Li, Zhongfei & Viens, Frederi G. & Zeng, Yan, 2013. "Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 601-614.
    2. Chen, Yan & Wang, Xuancheng, 2015. "A hybrid stock trading system using genetic network programming and mean conditional value-at-risk," European Journal of Operational Research, Elsevier, vol. 240(3), pages 861-871.
    3. Marek Kociñski, 2014. "Transaction Costs And Market Impact In Investment Management," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 10(4), pages 28-35, May.

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    More about this item

    Keywords

    Portfolio optimization; Stochastic volatility; Particle filtering; Monte-Carlo method; Discrete trading; Transaction costs; C6; C4; G1;
    All these keywords.

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • G1 - Financial Economics - - General Financial Markets

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