| Autor: |
Ly Vath, Vathana, Mnif, Mohamed |
| Přispěvatelé: |
Ly Vath, Vathana, Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Université Pierre et Marie Curie - Paris 6 (UPMC)-Université Paris Diderot - Paris 7 (UPD7)-Centre National de la Recherche Scientifique (CNRS), Laboratoire de Modélisation Mathématique et Numérique dans les Sciences de l'Ingénieur [Tunis] (LR-LAMSIN-ENIT), Ecole Nationale d'Ingénieurs de Tunis (ENIT), Université de Tunis El Manar (UTM)-Université de Tunis El Manar (UTM) |
| Jazyk: |
angličtina |
| Rok vydání: |
2007 |
| Předmět: |
|
| Popis: |
18 pages; We investigate numerical aspects of a portfolio selection problem studied in [10], in which we suggest a model of liquidity risk and price impact and formulate the problem as an impulse control problem under state constraint. We show that our impulse control problem could be reduced to an iterative sequence of optimal stopping problems. Given the dimension of our problem and the complexity of its solvency region, we use Monte Carlo methods instead of finite difference methods to calculate the value function, the transaction and no-transaction regions. We provide a numerical approximation algorithm as well as numerical results for the optimal transaction strategy. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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