Optimal consumption and investment with fixed and proportional transaction costs (Q5266527)
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scientific article; zbMATH DE number 6726202
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| English | Optimal consumption and investment with fixed and proportional transaction costs |
scientific article; zbMATH DE number 6726202 |
Statements
Optimal Consumption and Investment with Fixed and Proportional Transaction Costs (English)
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7 June 2017
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Merton problem
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transaction costs
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fixed costs
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value function
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constrained viscosity solution
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sub-solution
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super-solution
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dynamic programming equation (DPE)
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numerical simulations
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0.9029489755630492
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0.9029136896133424
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0.9026020169258118
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0.9007876515388488
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