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Filtering by: Creator Zhen Liu Subject Industrial Engineering and Management Sciences

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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

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