Primal-dual methods for the computation of trading regions under proportional transaction costs

DOI10.1007/s00186-012-0416-3zbMath1258.49042OpenAlexW1992789611MaRDI QIDQ1939506

Jörn Sass, Karl Kunisch, Roland Griesse

Publication date: 4 March 2013

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: http://unipub.uni-graz.at/doi/doi:10.1007/s00186-012-0416-3

zbMATH Keywords

portfolio optimizationtransaction costsaugmented Lagrangian methodsemi-smooth Newton methodcomplementarity problem

Mathematics Subject Classification ID

Newton-type methods (49M15) Discrete approximations in optimal control (49M25) Portfolio theory (91G10)

Related Items (6)

Dynamic portfolio optimization with transaction costs and state-dependent drift ⋮ On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ Finite-horizon optimal investment with transaction costs: construction of the optimal strategies ⋮ Worst-case portfolio optimization with proportional transaction costs ⋮ Optimal control of ultradiffusion processes with application to mathematical finance

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