Penalty method for portfolio selection with capital gains tax-Reference-Cited by-同舟云学术

Penalty method for portfolio selection with capital gains tax

Published:2021-04-19 Issue:3 Volume:31 Page:1013-1055
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Bian Baojun¹,Chen Xinfu²,Dai Min³^ORCID,Qian Shuaijie⁴^ORCID

Affiliation:

1. Department of Mathematics Tongji University Shanghai China

2. Department of Mathematics University of Pittsburgh Pennsylvania USA

3. Department of Mathematics Risk Management Institute and NUS Chongqing & Suzhou Research Institutes National University of Singapore Singapore Singapore

4. Department of Mathematics National University of Singapore Singapore Singapore

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12309

Reference53 articles.

1. Optimal Consumption and Investment with Fixed and Proportional Transaction Costs

2. Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations

3. Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations

4. Convergence of approximation schemes for fully nonlinear second order equations

5. The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes

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