Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon.
Maxim BichuchRonnie SircarPublished in: SIAM J. Control. Optim. (2019)
Keyphrases
- finite horizon
- transaction costs
- optimal stopping
- control policies
- infinite horizon
- optimal policy
- periodic review
- stochastic inventory control
- single product
- markov decision processes
- portfolio management
- multistage
- inventory models
- inventory control
- long run
- single item
- average cost
- markov decision process
- optimal control
- brownian motion
- dynamic programming
- state dependent
- state space
- stock price
- stock market
- non stationary
- decision making
- inventory systems
- fixed cost
- lost sales
- data mining
- inventory policy