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

Min Dai, Zhou Yang

Research output: Journal article publicationJournal articleAcademic researchpeer-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 languageEnglish
Pages (from-to)1445-1454
Number of pages10
JournalDiscrete and Continuous Dynamical Systems - Series B
Volume21
Issue number5
DOIs
Publication statusPublished - Jul 2016
Externally publishedYes

Keywords

  • Finite horizon
  • Optimal investment and consumption
  • Regularity
  • Transaction costs

ASJC Scopus subject areas

  • Discrete Mathematics and Combinatorics
  • Applied Mathematics

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