Penalty Methods for Continuous-Time Portfolio Selection withProportional Transaction Costs

By Min Dai, Yifei Zhong. 2010

48 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/45aafc73899cf01ea8fa770301fd9e643d512bc3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Y. Huang
2. Peter A. Forsyth
3. Kenneth R. Vetzal
4. Alexander Schied
5. Jari Toivanen
6. Samuli Ikonen
7. S. Clift
8. George Labahn

In Management Science and Operations Research

1. Peter A. Forsyth
2. Y. Huang

Citations in the corpus

• Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB) (2012, methodology): “…advantages of the penalty method compared with other numerical methods for singular control41 problems, we refer the reader to Dai et al. (2008) and Dai and Zhong (2010).42 The main contributions of this article are43 • We carry out a rigorous analysis of the penalty method in the context of the…”