Abstract: This study is devoted to evaluating the optimal self-financing portfolio
and the optimal trading frequency on a risky and risk-free asset to maximize
the expected future utility of the terminal wealth in a stochastic volatility
setting, when proportional transaction costs are incurred at each discrete
trading time. The HARA utility function is used, allowing a simple approximation
of the optimization problem, which is implementable forward in time. For
each of various transaction cost rates, we find the optimal trading frequency,
i.e. the one that attains the maximum of the expected utility at time zero.
We study the relation between transaction cost rate and optimal trading
frequency. The numerical method used is based on a stochastic volatility
particle filtering algorithm, combined with a Monte-Carlo method.
| □2009.12.18 16：30～ 開催 |
| Portfolio Optimization with Discrete Proportional Transaction Costs under
Stochastic Volatility |
| 講演者：Dr. Ha-Young Kim, Department of Mathematics, Purdue University (US)
|
Copyright c 2010 JST/CREST コハツ・チーム