Belak, Christoph, Menkens, Olaf and Sass, Jorn (2015) On the uniqueness of unbounded viscosity solutions arising in an optimal terminal wealth problem with transaction costs. SIAM Journal on Control and Optimization (SICON), 53 (5). pp. 2878-2897. ISSN 0363-0129
Abstract
We study the uniqueness of viscosity solutions of a Hamilton-Jacobi-Bellman equation which arises in a portfolio optimization problem in which an investor maximizes expected
utility of terminal wealth in the presence of proportional transaction costs. Our main contribution is that the comparison theorem can be applied to prove the uniqueness of the value function in the portfolio optimization problem for logarithmic and power utility.
Metadata
| Item Type: | Article (Published) |
|---|---|
| Refereed: | Yes |
| Uncontrolled Keywords: | Unbounded viscosity solutions; Comparison principle; Optimal terminal wealth; Transaction costs |
| Subjects: | Mathematics > Economics, Mathematical Mathematics > Stochastic analysis |
| DCU Faculties and Centres: | DCU Faculties and Schools > Faculty of Science and Health > School of Mathematical Sciences |
| Publisher: | Society for Industrial and Applied Mathematics |
| Official URL: | http://dx.doi.org/10.1080/17442508.2014.991325 |
| Copyright Information: | © 2015 SIAM |
| Use License: | This item is licensed under a Creative Commons Attribution-NonCommercial-Share Alike 3.0 License. View License |
| Funders: | Science Foundation Ireland, Deutsche Forschungsge-meinschaft (DFG) |
| ID Code: | 20852 |
| Deposited On: | 07 Oct 2015 10:09 by Olaf Menkens . Last Modified 19 Jul 2018 15:07 |
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