Optimal investment with transaction costs based on exponential utility function:a parabolic double obstacle problem

被引：0

作者：

BAO Qunfang YANG Jingyang SUN Chao LI Shenghong Department of MathematicsZhejiang UniversityHangzhou China Jingdezhen Ceramic InstituteJiangxiChina ^{[1
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机构：

来源：

AppliedMathematics:AJournalofChineseUniversities(SeriesB) | 2011年 / 26卷 / 04期

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中图分类号：

O175.2 [偏微分方程];

学科分类号：

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.

引用

页码：483 / 492

页数：10

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