Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
Year of publication: |
2012
|
---|---|
Authors: | Kim, Ha-Young ; Viens, Frederi |
Published in: |
Annals of Finance. - Springer. - Vol. 8.2012, 2, p. 405-425
|
Publisher: |
Springer |
Subject: | Portfolio optimization | Stochastic volatility | Particle filtering | Monte-Carlo method | Discrete trading | Transaction costs |
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