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 |
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Pages (from-to) | 1445-1454 |
Number of pages | 10 |
Journal | Discrete and Continuous Dynamical Systems - Series B |
Volume | 21 |
Issue number | 5 |
DOIs | |
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