Optimal Consumption and Sale Strategies for a Risk Averse Agent

DOI10.1137/140982738zbMath1350.91014arXiv1409.3394OpenAlexW137987116MaRDI QIDQ2832613

Yeqi Zhu, David G. Hobson

Publication date: 11 November 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.3394

zbMATH Keywords

local timetransaction costsreflecting diffusionoptimal consumption/investment problemsale strategy

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Local time and additive functionals (60J55) Portfolio theory (91G10)

Cites Work

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