Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon

2017 ◽  
Vol 55 (6) ◽  
pp. 3799-3832 ◽  
Author(s):  
Maxim Bichuch ◽  
Ronnie Sircar
Keyword(s):  
Transaction Costs ◽  
Stochastic Volatility ◽  
Infinite Horizon ◽  
Optimal Investment

Optimal investment under multi-factor stochastic volatility

2016 ◽  
Vol 17 (2) ◽  
pp. 241-260 ◽  
Author(s):  
Marcos Escobar ◽  
Sebastian Ferrando ◽  
Alexey Rubtsov
Keyword(s):  
Stochastic Volatility ◽  
Optimal Investment

scholarly journals Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs

2008 ◽  
Vol 40 (03) ◽  
pp. 673-695 ◽  
Author(s):  
Takashi Tamura
Keyword(s):  
Transaction Costs ◽  
Impulsive Control ◽  
Optimal Growth ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Market Model ◽  
Proportional Transaction Costs ◽  
Average Growth ◽  
Long Run ◽  
Riskless Asset

We study the problem of maximizing the long-run average growth of total wealth for a logarithmic utility function under the existence of fixed and proportional transaction costs. The market model consists of one riskless asset and d risky assets. Impulsive control theory is applied to this problem. We derive a quasivariational inequality (QVI) of ‘ergodic’ type and obtain a weak solution for the inequality. Using this solution, we obtain an optimal investment strategy to achieve the optimal growth.

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