Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem

DOI10.1016/j.jde.2008.11.003zbMath1227.35182MaRDI QIDQ1006096

Min Dai, Fa-huai Yi

Publication date: 17 March 2009

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jde.2008.11.003

zbMATH Keywords

portfolio selection; singular stochastic control

Mathematics Subject Classification ID

35B65: Smoothness and regularity of solutions to PDEs

93E20: Optimal stochastic control

35R60: PDEs with randomness, stochastic partial differential equations

35R35: Free boundary problems for PDEs

91G10: Portfolio theory

35Q93: PDEs in connection with control and optimization

35K86: Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators

Related Items

Numerical solution of an optimal investment problem with proportional transaction costs, Illiquidity, position limits, and optimal investment for mutual funds, Parabolic variational inequality with parameter and gradient constraints, A variational inequality arising from European option pricing with transaction costs, Capital renewal as a real option

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• The preferability of investment through a mutual fund
• Optimal investment and consumption with transaction costs
• Utility maximization on the real line under proportional transaction costs
• Optimal investment with transaction costs and without semimartingales
• A geometric approach to portfolio optimization in models with transaction costs
• Controlled Markov processes and viscosity solutions
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Finite Horizon Optimal Investment and Consumption with Transaction Costs
• Some solvable stochastic control problemst^†
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Necessary conditions for the existence of utility maximizing strategies under transaction costs
• European Option Pricing with Transaction Costs
• On some degenerate parabolic equations II
• On an Investment-Consumption Model with Transaction Costs
• Portfolio Selection with Transaction Costs