Numerical solution of an optimal investment problem with proportional transaction costs

DOI10.1016/J.CAM.2012.01.029MaRDI QIDQ415202zbMATH OpenOpenAlexFDO

Authors Iñigo Arregui, Carlos Vázquez

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

zbMATH Keywords

finite elementsnumerical methodstransaction costsoptimal investmentdouble obstacle problemscharacteristics scheme

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3558884 (Why is no real title available?)
• scientific article; zbMATH DE number 3596197 (Why is no real title available?)
• An upwind approach for an American and European option pricing model
• Far field boundary conditions for Black-Scholes equations
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• On using shadow prices in portfolio optimization with transaction costs
• Optimal investment and consumption with transaction costs
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio Selection with Transaction Costs
• Portfolio selection with transactions costs

Cited in

(8)

• scientific article; zbMATH DE number 1069629 (Why is no real title available?)
• Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• 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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