Finite Horizon Optimal Investment and Consumption with Transaction Costs

This paper concerns continuous-time optimal investment and the consumption decision of a constant relative risk aversion (CRRA) investor who faces proportional transaction costs and a finite time horizon. In the no-consumption case, it has been studied by Liu and Loewenstein [Review of Financial Stu...

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Vydáno v:	SIAM journal on control and optimization Ročník 48; číslo 2; s. 1134 - 1154
Hlavní autoři:	Dai, Min, Jiang, Lishang, Li, Peifan, Yi, Fahuai
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Philadelphia Society for Industrial and Applied Mathematics 01.01.2009
Témata:	Consumption Costs Financing Free boundaries Horizon Investment Investment policy Mathematical analysis Optimization Risk aversion Stochastic control theory Strategy Studies Transaction costs
ISSN:	0363-0129, 1095-7138
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