Finite horizon optimal investment and consumption with transaction costs

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

48 Citations (Scopus)

Original language	English
Pages (from-to)	1134-1154
Number of pages	21
Journal	SIAM Journal on Control and Optimization
Volume	48
Issue number	2
DOIs	https://doi.org/10.1137/070703685
Publication status	Published - 2009

More information

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title = "Finite horizon optimal investment and consumption with transaction costs",

author = "Min Dai and Lishang Jiang and Peifan Li and Fahuai Yi",

year = "2009",

doi = "10.1137/070703685",

language = "English",

volume = "48",

pages = "1134--1154",

journal = "SIAM Journal on Control and Optimization",

issn = "0363-0129",

publisher = "Society for Industrial and Applied Mathematics Publications",

number = "2",

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T1 - Finite horizon optimal investment and consumption with transaction costs

AU - Dai, Min

AU - Jiang, Lishang

AU - Li, Peifan

AU - Yi, Fahuai

PY - 2009

Y1 - 2009

U2 - 10.1137/070703685

DO - 10.1137/070703685

M3 - Journal article

SN - 0363-0129

VL - 48

SP - 1134

EP - 1154

JO - SIAM Journal on Control and Optimization

JF - SIAM Journal on Control and Optimization

IS - 2

ER -