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Titel
Primal-dual methods for the computation of trading regions under proportional transaction costs
VerfasserHerzog, Roland ; Kunisch, Karl In der Gemeinsamen Normdatei der DNB nachschlagen ; Sass, Jörn
Erschienen in
Mathematical methods of operations research : ZOR, Berlin ; Heidelberg : Springer ; Heidelberg : Springer [[anfangs]], 1.1956/57 -, Jg. 77, H. 1, S. 101-130
ErschienenSpringer
SpracheEnglisch
DokumenttypAufsatz in einer Zeitschrift
Schlagwörter (EN)Portfolio optimization / Transaction costs / Complementarity problem / Semi-smooth Newton method / Augmented Lagrangian method
ISSN1432-5217
URNurn:nbn:at:at-ubg:3-492 Persistent Identifier (URN)
DOIdoi:10.1007/s00186-012-0416-3 
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Primal-dual methods for the computation of trading regions under proportional transaction costs [2.05 mb]
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Zusammenfassung (Englisch)

Portfolio optimization problems on a finite time horizon under proportional transaction costs are considered. The objective is to maximize the expected utility of the terminal wealth. The ensuing non-smooth time-dependent HamiltonJacobiBellman equation is solved by regularization and the application of a semi-smooth Newton method. Discretization in space is carried out by finite differences or finite elements. Computational results for one and two risky assets are provided.

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