Numerical Approach to Optimal Portfolio in a Power Utility Regime-Switching Model

被引：4

作者：

Gyulov, Tihomir B. ^{[1
]}

Koleva, Miglena N. ^{[1
]}

Vulkov, Lubin G. ^{[2
]}

机构：

[1] Ruse Univ, Dept Math, 8 Studentska St, Ruse 7017, Bulgaria

[2] Ruse Univ, Dept Appl Math & Stat, 8 Studentska St, Ruse 7017, Bulgaria

来源：

PROCEEDINGS OF THE 43RD INTERNATIONAL CONFERENCE APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS (AMEE'17) | 2017年 / 1910卷

关键词：

PARABOLIC-ODE SYSTEM; EUROPEAN OPTIONS; SCHEMES;

D O I：

10.1063/1.5013961

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We consider a system of weakly coupled degenerate semi-linear parabolic equations of optimal portfolio in a regime-switching with power utility function, derived by A.R. Valdez and T. Vargiolu [14]. First, we discuss some basic properties of the solution of this system. Then, we develop and analyze implicit-explicit, flux limited finite difference schemes for the differential problem. Numerical experiments are discussed.

引用

页数：8

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