A note on finite horizon optimal investment and consumption with transaction costs

Min Dai; Zhou Yang

doi:10.3934/dcdsb.2016005

A note on finite horizon optimal investment and consumption with transaction costs

Discrete and Continuous Dynamical Systems - Series B ◽

10.3934/dcdsb.2016005 ◽

2016 ◽

Vol 21 (5) ◽

pp. 1445-1454

Author(s):

Min Dai ◽

Zhou Yang

Keyword(s):

Transaction Costs ◽

Optimal Investment ◽

Finite Horizon ◽

Optimal Investment And Consumption

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Finite Horizon Optimal Investment and Consumption with Transaction Costs

SIAM Journal on Control and Optimization ◽

10.1137/070703685 ◽

2009 ◽

Vol 48 (2) ◽

pp. 1134-1154 ◽

Cited By ~ 35

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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Finite Horizon Optimal Investment and Consumption with Transaction Costs

SSRN Electronic Journal ◽

10.2139/ssrn.1518174 ◽

2007 ◽

Cited By ~ 5

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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Finite Horizon Optimal Investment and Consumption with CARA Utility and Proportional Transaction Costs

Stochastic Analysis and Applications to Finance - Interdisciplinary Mathematical Sciences ◽

10.1142/9789814383585_0003 ◽

2012 ◽

pp. 39-54 ◽

Cited By ~ 4

Author(s):

Yingshan Chen ◽

Min Dai ◽

Kun Zhao

Keyword(s):

Transaction Costs ◽

Optimal Investment ◽

Finite Horizon ◽

Proportional Transaction Costs ◽

Cara Utility ◽

Optimal Investment And Consumption

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Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon

SIAM Journal on Control and Optimization ◽

10.1137/18m1208459 ◽

2019 ◽

Vol 57 (1) ◽

pp. 437-467 ◽

Cited By ~ 3

Author(s):

Maxim Bichuch ◽

Ronnie Sircar

Keyword(s):

Transaction Costs ◽

Stochastic Volatility ◽

Optimal Investment ◽

Finite Horizon

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Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs

SIAM Journal on Control and Optimization ◽

10.1137/120881373 ◽

2013 ◽

Vol 51 (6) ◽

pp. 4414-4449 ◽

Cited By ~ 26

Author(s):

Jin Hyuk Choi ◽

Mihai Sîrbu ◽

Gordan Žitković

Keyword(s):

Transaction Costs ◽

Optimal Investment ◽

Shadow Prices ◽

Well Posedness ◽

Optimal Investment And Consumption

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Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon

SSRN Electronic Journal ◽

10.2139/ssrn.2659918 ◽

2015 ◽

Cited By ~ 3

Author(s):

Maxim Bichuch ◽

Ronnie Sircar

Keyword(s):

Transaction Costs ◽

Stochastic Volatility ◽

Optimal Investment ◽

Finite Horizon

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Asymptotic analysis for optimal investment and consumption with transaction costs

Finance and Stochastics ◽

10.1007/s00780-003-0113-4 ◽

2004 ◽

Vol 8 (2) ◽

pp. 181-206 ◽

Cited By ~ 106

Author(s):

Karel Janecek ◽

Steven E. Shreve

Keyword(s):

Asymptotic Analysis ◽

Transaction Costs ◽

Optimal Investment ◽

Optimal Investment And Consumption

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Optimal Investment and Consumption with Transaction Costs

The Annals of Applied Probability ◽

10.1214/aoap/1177004966 ◽

1994 ◽

Vol 4 (3) ◽

pp. 609-692 ◽

Cited By ~ 353

Author(s):

S. E. Shreve ◽

H. M. Soner

Keyword(s):

Transaction Costs ◽

Optimal Investment ◽

Optimal Investment And Consumption

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Analysis of a Degenerate Parabolic Variational Inequality with Gradient Constraints from Optimal Investment and Consumption with Transaction Costs

SSRN Electronic Journal ◽

10.2139/ssrn.955465 ◽

2007 ◽

Cited By ~ 2

Author(s):

Min Dai ◽

Lishang Jiang ◽

Fahuai Yi

Keyword(s):

Variational Inequality ◽

Transaction Costs ◽

Optimal Investment ◽

Parabolic Variational Inequality ◽

Gradient Constraints ◽

Degenerate Parabolic ◽

Optimal Investment And Consumption

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Optimal Investment and Consumption with Fixed and Proportional Transaction Costs

Recent Developments in Mathematical Finance ◽

10.1142/9789812799579_0006 ◽

2001 ◽

Author(s):

Hong Liu

Keyword(s):

Transaction Costs ◽

Optimal Investment ◽

Proportional Transaction Costs ◽

Optimal Investment And Consumption

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