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 prob...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.展开更多
In this paper, a double obstacle problem of variational inequalities is considered and its solutions is obtained. The results of one-sided obstacle problem are not required in the analysis of our main results, which i...In this paper, a double obstacle problem of variational inequalities is considered and its solutions is obtained. The results of one-sided obstacle problem are not required in the analysis of our main results, which is different from the previous works.展开更多
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)
文摘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Project supported by the National Natural Science Foundation of China (No.10772046)
文摘In this paper, a double obstacle problem of variational inequalities is considered and its solutions is obtained. The results of one-sided obstacle problem are not required in the analysis of our main results, which is different from the previous works.
