A numerical study for optimal portfolio regime-switching model. I: 2D Black-Scholes equation with an exponential non-linear term.

DOI10.1016/j.cam.2016.01.012zbMath1364.35376OpenAlexW2292440824WikidataQ115581085 ScholiaQ115581085MaRDI QIDQ507925

Miglena N. Koleva, Lubin G. Vulkov

Publication date: 9 February 2017

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.2016.01.012

zbMATH Keywords

monotonicitystabilityconvergencesemilinear parabolic equationsign preservingoptimal portfolio regime-switching model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Semilinear parabolic equations (35K58)

Related Items (4)

Efficient finite difference method for optimal portfolio in a power utility regime-switching model ⋮ Fitted finite volume method for indifference pricing in an exponential utility regime-switching model ⋮ Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources ⋮ Numerical method for optimal portfolio in an exponential utility regime-switching model

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• Optimal Portfolio in a Regime-switching Model

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