Asymptotic analysis for Merton's problem with transaction costs in power utility case

作者：Choi Jin Hyuk^*

来源：Stochastics: An International Journal of Probability and Stochastic Processes , 2014, 86(5): 803-816.

DOI：10.1080/17442508.2013.879142

• stochastic control
• utility maximization
• transaction costs
• shadow price
• asymptotic analysis

We revisit the optimal investment and consumption problem with proportional transaction costs. We prove that both the value function and the slopes of the lines demarcating the no-trading region are analytic functions of cube root of the transaction cost parameter. Also, we can explicitly calculate the coefficients of the fractional power series expansions of the value function and the no-trading region.

• 出版日期2014