Herzog, Roland; Kunisch, Karl; Sass, Jörn - In: Mathematical Methods of Operations Research 77 (2013) 1, pp. 101-130
Portfolio optimization problems on a finite time horizon under proportional transaction costs are considered. The objective is to maximize the expected utility of the terminal wealth. The ensuing non-smooth time-dependent Hamilton–Jacobi–Bellman equation is solved by regularization and the...
