英文标题：
《Optimal Investment with Transaction Costs and Stochastic Volatility》
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作者：
Maxim Bichuch and Ronnie Sircar
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最新提交年份：
2014
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英文摘要：
  Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment problem has a long history, especially in the use of asymptotic approximations when the cost is small. Under stochastic volatility, but with no transaction costs, the Merton problem under general utility functions can also be analyzed with asymptotic methods. Here, we look at the long-run growth rate problem when both complexities are present, using separation of time scales approximations. This leads to perturbation analysis of an eigenvalue problem. We find the first term in the asymptotic expansion in the time scale parameter, of the optimal long-term growth rate, and of the optimal strategy, for fixed small transaction costs.
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中文摘要：
金融市场的两大复杂性是交易成本和不确定性波动，我们分析了它们对投资组合优化问题的共同影响。当波动率为常数时，交易成本最优投资问题有着悠久的历史，尤其是在成本较小时使用渐近近似。在无交易费用的随机波动下，一般效用函数下的默顿问题也可以用渐近方法分析。在这里，我们使用时间尺度分离近似法来研究当这两种复杂性都存在时的长期增长率问题。这导致了特征值问题的摄动分析。对于固定的小交易成本，我们在时间尺度参数的渐近展开中找到了最优长期增长率和最优策略的第一项。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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