A note on finite horizon optimal investment and consumption with transaction costs

Min Dai; Zhou Yang

doi:10.3934/dcdsb.2016005

A note on finite horizon optimal investment and consumption with transaction costs

Min Dai, Zhou Yang

Research output: Journal article publication › Journal article › Academic research › peer-review

1 Citation (Scopus)

Abstract

In this note, we remove the technical assumption γ > 0 imposed by Dai et. al. [SIAM J. Control Optim., 48 (2009), pp. 1134-1154] who consider the optimal investment and consumption decision of a CRRA investor facing proportional transaction costs and finite time horizon. Moreover, we present an estimate on the resulting optimal consumption.

Original language	English
Pages (from-to)	1445-1454
Number of pages	10
Journal	Discrete and Continuous Dynamical Systems - Series B
Volume	21
Issue number	5
DOIs	https://doi.org/10.3934/dcdsb.2016005
Publication status	Published - Jul 2016
Externally published	Yes

Keywords

Finite horizon
Optimal investment and consumption
Regularity
Transaction costs

ASJC Scopus subject areas

Discrete Mathematics and Combinatorics
Applied Mathematics

More information

10.3934/dcdsb.2016005

Cite this

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KW - Regularity

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A note on finite horizon optimal investment and consumption with transaction costs

Abstract

Keywords

ASJC Scopus subject areas

More information

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