Numerical solution of an optimal investment problem with proportional transaction costs

DOI10.1016/J.CAM.2012.01.029zbMath1237.91225OpenAlexW2020087108MaRDI QIDQ415202

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) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Free boundary problems for PDEs (35R35) Portfolio theory (91G10)

Related Items (4)

Projection/fixed point method for solving a semilinear obstacle problem ⋮ Family optimal investment strategy for a random household expenditure under the CEV model ⋮ A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs ⋮ A spectral method for an optimal investment problem with transaction costs under potential utility

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• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Portfolio Selection with Transaction Costs

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