کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4634864 1340701 2007 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes
چکیده انگلیسی

We study a consumption and portfolio selection problem in the presence of proportional transaction costs. In order to explore the effects of the expectation about the length of an investor’s lifetime on her optimal consumption and investment, we generalize Constantinides’ [2] optimal investment model with transaction costs by randomizing the investor’s lifetime. We convert the problem into a free boundary problem with two free boundaries and obtain an optimal consumption and investment policy. We provide a numerical algorithm for this free boundary problem and prove convergence of a numerical solution obtained by the algorithm to a true solution. By using numerical results, we investigate the effect of investor’s expected lifetime on liquidity premia due to transaction costs.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 191, Issue 1, 1 August 2007, Pages 239–252
نویسندگان
, , ,