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Let \\(x_n\\) \\((c_n)\\) be the total capital (consumption) at time \\(n\\) where \\(0\\leq c_n\\leq x_n\\). At time \\(n\\), \\(b_n(x_n-c_n)\\) is invested into bonds, and \\((1-b_n) (x_n-c_n)\\) is invested into stocks where \\(0\\leq b_n\\leq 1\\). Then the recursion NEWLINE\\[NEWLINEx_{n+1}= \\bigl[b_n(1+r) +(1-b_n) (1+\\xi_n) \\bigr](x_n- c_n),\\;n\\geq 0NEWLINE\\]NEWLINE holds where \\(x_0=x\\) is the initial capital. With consumption \\(c_n\\) a certain satisfaction \\(g(c_n)\\) is associated (for a given function \\(g)\\). A portfolio strategy is given by a sequence \\(u=(b_n,c_n)\\). Let \\(0< \\gamma<1\\) be a given discount factor. The value function is given by NEWLINE\\[NEWLINEw(x)= \\sup_uE^u_x \\left[ \\sum^\\infty_{i=0} \\gamma^ig(x_i) \\right]NEWLINE\\]NEWLINE (the supremum taken over all admissible strategies \\(u)\\). Let \\({\\mathcal W}\\) denote the family of all continuous functions \\(f:[0,\\infty [\\to R\\) such that \\(\\sup_{x\\geq 0}|f(x)|/(x+1) < \\infty\\). The authors show that if \\(g\\in {\\mathcal W}\\), then there exists a unique \\(w\\in {\\mathcal W}\\) satisfying the corresponding Bellman equation, and \\(w\\) coincides with the above value function for a certain optimal strategy. The authors also study the above problem in the case of proportional transaction costs for buying and selling stocks.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2772021$C564E475-96EE-44D7-B60C-FDD82B8161F6","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"bccf737338fb4df11281b54a4bafbc562a37369c","datavalue":{"value":{"entity-type":"item","numeric-id":587654,"id":"Q587654"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2772021$CC3FBAB9-ECA7-45FE-AEB6-D3CACADD54DA","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"e199e06573f10837e532220f35363b02620da0c1","datavalue":{"value":{"entity-type":"item","numeric-id":2712223,"id":"Q2712223"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"70e77d6bdce0a3317c0528be04c8ba5385647bdf","datavalue":{"value":{"amount":"+0.8369303345680237","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2772021$732AEC01-6F34-4993-B1C8-98A4E8AC10DD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"0732075fc054dbbad51207bddd7be0cf18c75d81","datavalue":{"value":{"entity-type":"item","numeric-id":1336583,"id":"Q1336583"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"70e77d6bdce0a3317c0528be04c8ba5385647bdf","datavalue":{"value":{"amount":"+0.8369303345680237","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2772021$D2099D99-3F54-42F3-81FA-96B265922E46","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"dcc6cbcc0a1229b899044b763aafa5000e40a5b0","datavalue":{"value":{"entity-type":"item","numeric-id":5469351,"id":"Q5469351"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"c21119a56c90af6189b3c73ca2968b942fa762a7","datavalue":{"value":{"amount":"+0.8314487338066101","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2772021$722B2582-71C7-483D-8A47-DD6BA8FDC5E5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"60a5b8058b064f0750068636a1dc055f1f51ca3c","datavalue":{"value":{"entity-type":"item","numeric-id":5749130,"id":"Q5749130"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"e13b9c1756e0b79929f80d14696ae63b235ec730","datavalue":{"value":{"amount":"+0.8272477388381958","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2772021$D772AF63-0C44-4911-AD9F-71A2DCDC1E8E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"31a1508e2b599af05e2d6e85c8fffe8e1d059072","datavalue":{"value":{"entity-type":"item","numeric-id":3534756,"id":"Q3534756"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"8d051e50ac1959e9c83d2b36b65066d9f8eb6cc4","datavalue":{"value":{"amount":"+0.8248914480209351","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2772021$791CA39E-7E90-4E86-8012-79AC324A971A","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Discrete time portfolio selection with proportional transaction costs","badges":[]}}}}}