A NOTE ON FINITE HORIZON OPTIMAL INVESTMENT AND CONSUMPTION WITH TRANSACTION COSTS

作者：Dai, Min^*; Yang, Zhou

来源：Discrete and Continuous Dynamical Systems-Series B, 2016, 21(5): 1445-1454.

DOI：10.3934/dcdsb.2016005

• Optimal investment and consumption
• transaction costs
• finite horizon
• regularity

In this note, we remove the technical assumption gamma > 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.

• 出版日期2016-7
• 单位华南师范大学