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...

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...

A copula density is the joint probability density function (PDF) of a random vector with uniform marginals. An approach to bivariate copula density estimation is introduced that is based on maximum penalized likelihood estimation (MPLE) with a total variation (TV) penalty term. The marginal...

Among the penalty based approaches for constrained optimization, augmented Lagrangian (AL) methods are better in at least three ways: (i) they have theoretical convergence properties, (ii) they distort the original objective function minimally, thereby providing a better function landscape for...