Portfolio Selection with Transaction Costs
Portfolio Selection with Transaction Costs
复制标题
考虑交易成本的投资组合选择
DOI：
10.1007/978-3-0348-7026-9_27
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发表时间：
1995
期刊：
影响因子：
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通讯作者：
T. Zariphopoulou
中科院分区：
文献类型：
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作者：
A. Tourin;T. Zariphopoulou
本文考虑了一个无限期投资-消费模型，其中单个代理人消费并在两种资产（债券和股票）之间分配他的财富。的总效用最大化的问题，从消费处理;国家（分配在资产中的金额）和控制（消费，交易率）的限制。证明了该值函数是一个带梯度约束的变分不等式的唯一粘性解。然后构造了一个单调的数值方案，以计算所谓的交易区域的自由边界的值函数和位置。
This paper considers an infinite horizon investment-consumption model in which a single agent consumes and distributes his wealth between two assets, a bond and a stock. The problem of maximization of the total utility from consumption is treated; State (amount allocated in assets) and control (consumption, rates of trading) constraints are present. It is shown that the value function is the unique viscosity solution of a variational inequality with gradient constraints. A monotone numerical scheme is then constructed in order to compute both the value function and the location of the free boundaries of the so-called transaction regions.