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.
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页数：8
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