Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
Ha-Young Kim () and
Frederi Viens ()
Annals of Finance, 2012, vol. 8, issue 2, pages 405-425
Keywords: Portfolio optimization; Stochastic volatility; Particle filtering; Monte-Carlo method; Discrete trading; Transaction costs; C6; C4; G1 (search for similar items in EconPapers)
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Persistent link: http://EconPapers.repec.org/RePEc:kap:annfin:v:8:y:2012:i:2:p:405-425
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