A Note on Finite Horizon Optimal Investment and Consumption with Transaction Cost

SIAM Journal of Control and Optimization, Vol. 48, pp. 1134-1154, 2009

8 Pages Posted: 9 Mar 2011

See all articles by Min Dai

Min Dai

National University of Singapore (NUS) - Department of Mathematics

Zhou Yang

South China Normal University - Department of Math

Date Written: July 8, 2009

Abstract

We remove the technical assumption $\gamma>0$ imposed by Dai et. al. who consider the optimal investment and consumption decision of a CRRA investor facing proportional transaction costs and finite time horizon. As a by-product, we obtain an estimate on the optimal consumption.

Keywords: optimal investment and consumption, transaction costs, finite horizon

JEL Classification: G11, D23

Suggested Citation

Dai, Min and Yang, Zhou, A Note on Finite Horizon Optimal Investment and Consumption with Transaction Cost (July 8, 2009). SIAM Journal of Control and Optimization, Vol. 48, pp. 1134-1154, 2009. Available at SSRN: https://ssrn.com/abstract=1781350

Min Dai (Contact Author)

National University of Singapore (NUS) - Department of Mathematics ( email )

Singapore

Zhou Yang

South China Normal University - Department of Math ( email )

Guangzhou, 510631
China

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