Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
Year of publication: |
2012
|
---|---|
Authors: | Kim, Ha Young ; Viens, Frederi G. |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 8.2012, 2/3, p. 405-425
|
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Portfolio-Management | Portfolio selection | Theorie | Theory |
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