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A note on finite horizon optimal investment and consumption with transaction costs
| 1. | Dept of Math and Center for Quantitative Finance, National University of Singapore |
| 2. | School of Mathematical Science, South China Normal University, Guangzhou, China |
References:
| [1] |
M. Dai, L. Jiang, P. F. Li and F. H. Yi, Finite Horizon Optimal Investment and Consumption with Transaction Costs, SIAM Journal on Control and Optimization, 48 (2009), 1134-1154.
doi: 10.1137/070703685. |
| [2] |
M. Dai and F. H. Yi, Finite horizon optimal investment with transaction costs: A paraoblic double obstacle problem, Journal of Differential Equations, 246 (2009), 1445-1469.
doi: 10.1016/j.jde.2008.11.003. |
| [3] |
M. H. A. Davis and A. R. Norman, Portfolio selection with transaction costs, Mathematics of Operations Research, 15 (1990), 676-713.
doi: 10.1287/moor.15.4.676. |
| [4] |
H. Liu and M. Loewenstein, Optimal portfolio selection with transaction costs and finite horizons, Review of Financial Studies, 15 (2002), 805-835.
doi: 10.1093/rfs/15.3.805. |
| [5] |
M. J. P. Magill and G. M. Constantinides, Portfolio selection with transaction costs, Journal of Economic Theory, 13 (1976), 264-271.
doi: 10.1016/0022-0531(76)90018-1. |
| [6] |
R. C. Merton, Optimal consumption and portfolio rules in a continuous time model, Journal of Economic Theory, 3 (1971), 373-413.
doi: 10.1016/0022-0531(71)90038-X. |
| [7] |
S. E. Shreve and H. M. Soner, Optimal investment and consumption with transaction costs, Annals of Applied Probability, 4 (1994), 609-692.
doi: 10.1214/aoap/1177004966. |
show all references
References:
| [1] |
M. Dai, L. Jiang, P. F. Li and F. H. Yi, Finite Horizon Optimal Investment and Consumption with Transaction Costs, SIAM Journal on Control and Optimization, 48 (2009), 1134-1154.
doi: 10.1137/070703685. |
| [2] |
M. Dai and F. H. Yi, Finite horizon optimal investment with transaction costs: A paraoblic double obstacle problem, Journal of Differential Equations, 246 (2009), 1445-1469.
doi: 10.1016/j.jde.2008.11.003. |
| [3] |
M. H. A. Davis and A. R. Norman, Portfolio selection with transaction costs, Mathematics of Operations Research, 15 (1990), 676-713.
doi: 10.1287/moor.15.4.676. |
| [4] |
H. Liu and M. Loewenstein, Optimal portfolio selection with transaction costs and finite horizons, Review of Financial Studies, 15 (2002), 805-835.
doi: 10.1093/rfs/15.3.805. |
| [5] |
M. J. P. Magill and G. M. Constantinides, Portfolio selection with transaction costs, Journal of Economic Theory, 13 (1976), 264-271.
doi: 10.1016/0022-0531(76)90018-1. |
| [6] |
R. C. Merton, Optimal consumption and portfolio rules in a continuous time model, Journal of Economic Theory, 3 (1971), 373-413.
doi: 10.1016/0022-0531(71)90038-X. |
| [7] |
S. E. Shreve and H. M. Soner, Optimal investment and consumption with transaction costs, Annals of Applied Probability, 4 (1994), 609-692.
doi: 10.1214/aoap/1177004966. |
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