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

zbMATH Open1354.91140MaRDI QIDQ4925762FDOQ4925762

Kun Zhao, Yingshan Chen, Min Dai

Publication date: 12 June 2013

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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)

Cited In (2)

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

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