Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs
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Publication:5408798
DOI10.1137/120881373zbMath1287.91132arXiv1204.0305OpenAlexW2090034720MaRDI QIDQ5408798
Jin Hyuk Choi, Gordan Žitković, Mihai Sîrbu
Publication date: 11 April 2014
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1204.0305
free boundary problemtransaction costsshadow pricesingular controloptimal consumptionoptimal investment
Optimality conditions for problems involving ordinary differential equations (49K15) Portfolio theory (91G10)
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