摘要
This paper concerns optimal investment problem with proportional transaction costs and finite time horizon based on exponential utility function. Using a partial differential equation approach, we reveal that the problem is equivalent to a parabolic double obstacle problem involving two free boundaries that correspond to the optimal buying and selling policies. Numerical examples are obtained by the binomial method.
This paper concerns optimal investment problem with proportional transaction costs and finite time horizon based on exponential utility function. Using a partial differential equation approach, we reveal that the problem is equivalent to a parabolic double obstacle problem involving two free boundaries that correspond to the optimal buying and selling policies. Numerical examples are obtained by the binomial method.
基金
Supported by the Key Grant Project of Chinese Ministry of Education (NO.309018)
National Natural Science Foundation of China (NO.70973104,NO.11171304)
Zhejiang Provincial Natural Science Foundation of China (NO.Y6110023)
