Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem

DOI10.1007/S11766-011-2294-5zbMATH Open1265.91048OpenAlexW1971381832MaRDI QIDQ453370FDOQ453370

Chao Sun, Qunfang Bao, Jing-Yang Yang, Shenghong Li

Publication date: 5 October 2012

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-011-2294-5

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zbMATH Keywords

stochastic controltransaction costsoptimal investmentexponential utility functiondouble obstacle problem

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Portfolio theory (91G10) Utility theory (91B16)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio Selection with Transaction Costs
• A closed-form solution to the problem of super-replication under transaction costs
• Optimal investment and consumption with transaction costs
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• Numerical Methods for Stochastic Control Problems in Continuous Time
• Title not available (Why is that?)
• European Option Pricing with Transaction Costs
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• Numerical Methods for Stochastic Singular Control Problems
• Title not available (Why is that?)
• On dynamic measure of risk
• Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
• A note on super-replicating strategies
• A variational inequality arising from European option pricing with transaction costs

Cited In (4)

• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• Title not available (Why is that?)
• A double obstacle problem in an optimal investment problem
• A spectral method for an optimal investment problem with transaction costs under potential utility

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