Numerical solution of an optimal investment problem with proportional transaction costs.

Iñigo Arregui Carlos Vázquez

Published in: J. Comput. Appl. Math. (2012)

Keyphrases

numerical solution
transaction costs
portfolio management
partial differential equations
differential equations
exact solution
optimal solution
boundary value problem
finite element
numerical methods
search costs
linear systems
long run
column generation
dynamic programming
long term
multiresolution