Characterization of optimal strategy for multiasset investment and consumption with transaction costs

DOI10.1137/120898991zbMATH Open1283.91165OpenAlexW3122267193MaRDI QIDQ2873152FDOQ2873152

Authors: Xinfu Chen, Min Dai 

Publication date: 23 January 2014

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

Full work available at URL: https://semanticscholar.org/paper/1164208d107647f1b308af465f1fc364f2069cb0

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zbMATH Keywords

portfolio selectiontransaction costsconsumptionoptimal investmentmultiple risky assetsno-trading regions

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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