Optimal Investment and Consumption With Two Bonds and Transaction Costs1

DOI10.1111/j.1467-9965.1991.tb00016.xzbMath0900.90049OpenAlexW2067846109MaRDI QIDQ4346053

Ganlin Xu, Halil Mete Soner, Steven E. Shreve

Publication date: 31 August 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1991.tb00016.x

zbMATH Keywords

optimal controlvariational inequalitytransaction costsfree boundaryutility maximization

Mathematics Subject Classification ID

Related Items (7)

Computational aspects in applied stochastic control ⋮ Multi-asset portfolio selection problem with transaction costs ⋮ Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance ⋮ Managing inventory with proportional transaction costs ⋮ MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS ⋮ A Method for Computing Double Band Policies for Switching between Two Diffusions ⋮ Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs

Cites Work

• Portfolio selection with transactions costs
• Additive Control of Stochastic Linear Systems with Finite Horizon
• Optimal Control with State-Space Constraint I
• Some solvable stochastic control problemst^†
• Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
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