Finite Horizon Optimal Investment and Consumption with Transaction Costs

Abstract

This paper concerns continuous-time optimal investment and consumption decision of a CRRA investor who faces proportional transaction costs and finite time horizon. In the no consumption case, it has been studied by Liu and Loewenstein (2002) and Dai and Yi (2006). Mathematically, it is a singular stochastic control problem whose value function satisfies a… (More)
DOI: 10.1137/070703685

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Cite this paper

@article{Dai2009FiniteHO, title={Finite Horizon Optimal Investment and Consumption with Transaction Costs}, author={Min Dai and Lishang Jiang and Peifan Li and Fahuai Yi}, journal={SIAM J. Control and Optimization}, year={2009}, volume={48}, pages={1134-1154} }