Finite horizon optimal investment and consumption with CARA utility and proportional transaction costs

MaRDI QIDQ4925762zbMATHFDO

Authors Min Dai, Kun Zhao, Yingshan Chen

Publication date 12 June 2013

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Recommendations

• Finite horizon optimal investment and consumption with transaction costs
• Optimal consumption and investment with fixed and proportional transaction costs
• scientific article; zbMATH DE number 1867091
• A note on finite horizon optimal investment and consumption with transaction costs
• Optimal investment and consumption with proportional transaction costs in regime-switching model

Cited in

(3)

• Finite-horizon optimal investment with transaction costs: construction of the optimal strategies
• Finite horizon optimal investment and consumption with transaction costs
• Optimal investment and consumption under a continuous-time cointegration model with exponential utility

This page was built for publication: Finite horizon optimal investment and consumption with CARA utility and proportional transaction costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4925762)