Numerical approximation for a portfolio optimization problem under liquidity risk and costs

DOI10.1007/s00245-015-9311-7zbMath1346.93396OpenAlexW2136974670MaRDI QIDQ315777

Salwa Toumi, Vathana Ly Vath, M'hamed Gaigi, Mohammed Mnif

Publication date: 23 September 2016

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-015-9311-7

zbMATH Keywords

viscosity solutionimpulse control problemoptimal transaction strategyquantization method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (3)

Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets ⋮ Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach ⋮ Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures

Cites Work

• Unnamed Item
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Functional quantization of Gaussian processes
• A model of optimal portfolio selection under liquidity risk and price impact
• Functional quantization of a class of Brownian diffusions: a constructive approach
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• Optimal Execution with Multiplicative Price Impact

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