Journal of Shanghai University(Natural Science Edition)
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MA Kun, ZHU Zheng-you
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Abstract: An optimal consumption and investment policy with transaction costs is discussed in this paper. After the HJB equation of this problem and the variational inequality are obtained, the equivalent free boundary problem is proposed, and a numerical method for solving the problem established. The new methods can reduce workload compared to a former method.
Key words: free boundary, variational inequality, transaction costs
CLC Number:
F224.11
O241.82
MA Kun;ZHU Zheng-you. A Numerical Method for Optimal Investment and Consumption with Transaction Costs[J]. Journal of Shanghai University(Natural Science Edition).
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URL: https://www.journal.shu.edu.cn/EN/
https://www.journal.shu.edu.cn/EN/Y2008/V14/I1/61