Northwestern University

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Filtering by: Creator Zhen Liu Resource type Dissertation

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Modeling and Numerical Solution of Portfolio Optimization Problems with Transaction Costs- An Option Pricing Approach

Description:

Portfolio optimization problems with transaction costs have been widely studied by both financial economists and financial engineers through various approaches. In this paper, we propose the following approach. In analogy to American option pricing, we study the problem through the Finite Element Method (FEM) combined with an optimization method: We...

Keyword:

portfolio optimization and transaction cost

Subject:

Industrial Engineering and Management Sciences

Creator:

Zhen Liu

Owner:

Scholarly Digital Publishing

Date Uploaded:

07/25/2018

Date Modified:

07/25/2018

Date Created:

2007-05-15

Resource Type:

Dissertation