Index Catalog // Arch : Northwestern University Institutional Repository

Start Over

Filtering by: Keyword transaction cost Resource type Dissertation

1 entry found

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

LIBRARIES | ARCH