In this companion paper to “Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite … optimal investment and consumption problem under fast mean-reverting stochastic volatility of a joint asymptotic expansion in …

This supplemental appendix accompanies "Optimal Investment with Transaction Costs and Stochastic Volatility Part II …

) model to simulate the price path followed by risky assets and the CIR mean reversion model to simulate the path followed by … the short-term interest rate. The floor of the CPPI strategy is linked to the stochastic process driving the value of a … fixed income instrument whose yield follows the CIR mean reversion model. The developed model is benchmarked against CNX …