Finite Horizon Optimal Investment and Consumption with Transaction Costs

  title={Finite Horizon Optimal Investment and Consumption with Transaction Costs},
  author={Min Dai and Lishang Jiang and Peifan Li and Fahuai Yi},
  journal={ERN: Financial Markets (Topic)},
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 Studies, 15 (2002), pp. 805-835] and Dai and Yi [J. Differential Equations, 246 (2009), pp. 1445-1469]. Mathematically, it is a singular stochastic control problem whose value function satisfies a… 

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