Numerical solution of an optimal investment problem with proportional transaction costs (Q415202): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
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+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+R35
@@ Property / Mathematics Subject Classification ID: 35R35 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M60
@@ Property / Mathematics Subject Classification ID: 65M60 / rank @@
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@@ Property / zbMATH DE Number @@
+6033725
@@ Property / zbMATH DE Number: 6033725 / rank @@
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@@ Property / zbMATH Keywords @@
+optimal investment
@@ Property / zbMATH Keywords: optimal investment / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+transaction costs
@@ Property / zbMATH Keywords: transaction costs / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+double obstacle problems
@@ Property / zbMATH Keywords: double obstacle problems / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+numerical methods
@@ Property / zbMATH Keywords: numerical methods / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+characteristics scheme
@@ Property / zbMATH Keywords: characteristics scheme / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+finite elements
@@ Property / zbMATH Keywords: finite elements / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2012.01.029
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@@ Property / OpenAlex ID @@
+W2020087108
@@ Property / OpenAlex ID: W2020087108 / rank @@
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@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Portfolio selection with transactions costs
@@ Property / cites work: Portfolio selection with transactions costs / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
+Normal rank
@@ Property / cites work @@
+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
+Normal rank
@@ Property / cites work @@
+Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
+Normal rank
@@ Property / cites work @@
+An upwind approach for an American and European option pricing model
+Normal rank
@@ Property / cites work @@
+Q4130923
@@ Property / cites work: Q4130923 / rank @@
+Normal rank
@@ Property / cites work @@
+Far Field Boundary Conditions for Black--Scholes Equations
+Normal rank
@@ Property / cites work @@
+Q4162607
@@ Property / cites work: Q4162607 / rank @@
+Normal rank
@@ Property / cites work @@
+Finite-Dimensional Variational Inequalities and Complementarity Problems
+Normal rank
@@ Property / cites work @@
+On using shadow prices in portfolio optimization with transaction costs
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:415202