OPTIMAL CONSUMPTION AND INVESTMENT WITH FIXED AND PROPORTIONAL TRANSACTION COSTS

被引：21

作者：

Altarovici, Albert ^{[1
]}

Reppen, Max ^{[1
]}

Soner, H. Mete ^{[1
]}

机构：

[1] Dept Math, Ramistr 101, CH-8092 Zurich, Switzerland

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2017年 / 55卷 / 03期

基金：

瑞士国家科学基金会;

关键词：

Merton problem; transaction costs; viscosity solutions; dynamic programming; fixed costs; PORTFOLIO SELECTION; ASYMPTOTIC ANALYSIS; VISCOSITY SOLUTIONS; PREDICTABILITY; HOMOGENIZATION; OPTIMIZATION; POISSON; DEMANDS; TIME;

D O I：

10.1137/15M1053633

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming is proved in the general setting, and a comparison result for possibly discontinuous viscosity solutions of the dynamic programming equation is provided. Detailed numerical experiments illustrate several properties of the optimal investment strategies.

引用

页码：1673 / 1710

页数：38

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