Finite-Horizon Optimal Investment with Transaction Costs: A Parabolic Double Obstacle Problem

2006 ◽  
Author(s):  
Min Dai ◽  
Fahuai Yi
Keyword(s):  
Transaction Costs ◽  
Obstacle Problem ◽  
Optimal Investment ◽  
Finite Horizon

Finite Horizon Optimal Investment and Consumption with Transaction Costs

2009 ◽  
Vol 48 (2) ◽  
pp. 1134-1154 ◽  
Author(s):  
Min Dai ◽  
Lishang Jiang ◽  
Peifan Li ◽  
Fahuai Yi
Keyword(s):  
Transaction Costs ◽  
Optimal Investment ◽  
Finite Horizon ◽  
Optimal Investment And Consumption
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