کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
8902157 1631958 2018 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A numerical scheme for a singular control problem: Investment-consumption under proportional transaction costs
ترجمه فارسی عنوان
یک طرح عددی برای یک مشکل کنترل منحصر به فرد: سرمایه گذاری مصرف در هزینه های معامله ای متناسب
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
چکیده انگلیسی
This paper concerns the numerical solution of a fully nonlinear parabolic double obstacle problem arising from a finite portfolio selection with proportional transaction costs. We consider optimal allocation of wealth among multiple stocks and a bank account in order to maximize the finite horizon discounted utility of consumption. The problem is mainly governed by a time-dependent Hamilton-Jacobi-Bellman equation with gradient constraints. We propose a numerical method which is composed of Monte Carlo simulation to take advantage of the high-dimensional properties and finite difference method to approximate the gradients of the value function. Numerical results illustrate behaviors of the optimal trading strategies and also satisfy all qualitative properties proved in Dai et al. (2009) and Chen and Dai (2013).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 333, 1 May 2018, Pages 170-184
نویسندگان
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