scientific article; zbMATH DE number 1867091

MaRDI QIDQ4792525zbMATH OpenFDO

Authors Hong Liu

Publication date 2002

zbMATH Keywords

investmentconsumptiontransaction cost

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42)

Recommendations

• Optimal consumption and investment with fixed and proportional transaction costs
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(10)

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• Optimal consumption and investment with fixed and proportional transaction costs
• Impulse control of portfolios with jumps and transaction costs
• Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs
• A computational scheme for optimal investment - consumption with proportional transaction costs
• Investment and consumption in regime-switching models with proportional transaction costs and log utility
• Efficient non-contractible investments in large economies.
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• Optimal investment in the foreign exchange market with proportional transaction costs
• Finite horizon optimal investment and consumption with CARA utility and proportional transaction costs

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