Numerical solution of an optimal investment problem with proportional transaction costs
DOI10.1016/J.CAM.2012.01.029zbMATH Open1237.91225OpenAlexW2020087108MaRDI QIDQ415202FDOQ415202
Publication date: 11 May 2012
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2012.01.029
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finite elementsnumerical methodstransaction costsoptimal investmentdouble obstacle problemscharacteristics scheme
Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Free boundary problems for PDEs (35R35) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Finite-Dimensional Variational Inequalities and Complementarity Problems
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- Portfolio Selection with Transaction Costs
- Optimal investment and consumption with transaction costs
- Far field boundary conditions for Black-Scholes equations
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- Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
- Portfolio selection with transactions costs
- HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
- On using shadow prices in portfolio optimization with transaction costs
- An upwind approach for an American and European option pricing model
Cited In (6)
- Title not available (Why is that?)
- Projection/fixed point method for solving a semilinear obstacle problem
- Family optimal investment strategy for a random household expenditure under the CEV model
- A double obstacle problem in an optimal investment problem
- A spectral method for an optimal investment problem with transaction costs under potential utility
- A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs
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