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

DOI10.1137/120898991MaRDI QIDQ2873152zbMATH OpenOpenAlexFDO

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

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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(18)

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• scientific article; zbMATH DE number 5589331 (Why is no real title available?)

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