Primal-dual methods for the computation of trading regions under proportional transaction costs
نویسندگان
چکیده
Portfolio optimization problems on a finite time horizon under proportional transaction costs are considered. The objective is to maximize the expected utility of the terminal wealth. The ensuing non-smooth timedependent Hamilton-Jacobi-Bellman (HJB) equation is solved by regularization and the application of a semi-smooth Newton method. Discretization in space is carried out by finite differences or finite elements. Computational results for one and two risky assets are provided.
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عنوان ژورنال:
- Math. Meth. of OR
دوره 77 شماره
صفحات -
تاریخ انتشار 2013