Optimal consumption and investment with fixed and proportional transaction costs
Author(s): Altarovici, A; Reppen, M; Soner, H Mete
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http://arks.princeton.edu/ark:/88435/pr1vk4f| Abstract: | © 2017 Society for Industrial and Applied Mathematics. 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. |
| Publication Date: | 1-Jan-2017 |
| Citation: | Altarovici, A, Reppen, M, Mete Soner, H. (2017). Optimal consumption and investment with fixed and proportional transaction costs. SIAM Journal on Control and Optimization, 55 (3), 1673 - 1710. doi:10.1137/15M1053633 |
| DOI: | doi:10.1137/15M1053633 |
| ISSN: | 0363-0129 |
| Pages: | 1673 - 1710 |
| Type of Material: | Journal Article |
| Journal/Proceeding Title: | SIAM Journal on Control and Optimization |
| Version: | Author's manuscript |
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