Primal‐dual methods for the computation of trading regions under proportional transaction costs

Primal‐dual methods for the computation of trading regions under proportional transaction costs

0.00 Avg rating0 Votes
Article ID: iaor20131256
Volume: 77
Issue: 1
Start Page Number: 101
End Page Number: 130
Publication Date: Feb 2013
Journal: Mathematical Methods of Operations Research
Authors: , ,
Keywords: portfolio optimization, primal-dual algorithm
Abstract:

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 time‐dependent Hamilton–Jacobi–Bellman 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.

Reviews

Required fields are marked *. Your email address will not be published.