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

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作者：
BAO Qunfang YANG Jingyang SUN Chao LI Shenghong Department of MathematicsZhejiang UniversityHangzhou China Jingdezhen Ceramic InstituteJiangxiChina [1 ,1 ,2 ,1 ,1 ,310027 ,2 ,333403 ]
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来源：
AppliedMathematics:AJournalofChineseUniversities(SeriesB) | 2011年 / 26卷 / 04期
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O175.2 [偏微分方程];
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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.
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页码：483 / 492
页数：10
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