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

DOI10.1007/S11766-011-2294-5MaRDI QIDQ453370zbMATHOpenAlexFDO

Authors Qunfang Bao, Chao Sun, 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

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)

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Cites work

• scientific article; zbMATH DE number 1222796 (Why is no real title available?)
• scientific article; zbMATH DE number 1222807 (Why is no real title available?)
• A closed-form solution to the problem of super-replication under transaction costs
• A note on super-replicating strategies
• A variational inequality arising from European option pricing with transaction costs
• Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
• European Option Pricing with Transaction Costs
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• Numerical Methods for Stochastic Control Problems in Continuous Time
• Numerical Methods for Stochastic Singular Control Problems
• On dynamic measure of risk
• Optimal investment and consumption with transaction costs
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio Selection with Transaction Costs
• There is no nontrivial hedging portfolio for option pricing with transaction costs

Cited in

(5)

• Numerical solution of an optimal investment problem with proportional transaction costs
• scientific article; zbMATH DE number 7706661 (Why is no real title available?)
• A spectral method for an optimal investment problem with transaction costs under potential utility
• A double obstacle problem in an optimal investment problem
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem

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