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Optimal consumption and investment with fixed and proportional transaction costs

Author(s): Altarovici, A; Reppen, M; Soner, H Mete

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dc.contributor.authorAltarovici, A-
dc.contributor.authorReppen, M-
dc.contributor.authorSoner, H Mete-
dc.date.accessioned2021-10-11T14:18:05Z-
dc.date.available2021-10-11T14:18:05Z-
dc.date.issued2017-01-01en_US
dc.identifier.citationAltarovici, 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:10.1137/15M1053633en_US
dc.identifier.issn0363-0129-
dc.identifier.urihttp://arks.princeton.edu/ark:/88435/pr1vk4f-
dc.description.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.en_US
dc.format.extent1673 - 1710en_US
dc.language.isoen_USen_US
dc.relation.ispartofSIAM Journal on Control and Optimizationen_US
dc.rightsAuthor's manuscripten_US
dc.titleOptimal consumption and investment with fixed and proportional transaction costsen_US
dc.typeJournal Articleen_US
dc.identifier.doidoi:10.1137/15M1053633-
pu.type.symplectichttp://www.symplectic.co.uk/publications/atom-terms/1.0/journal-articleen_US

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