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)
Date: 2012
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