Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem
نویسندگان
چکیده
منابع مشابه
Finite Horizon Optimal Investment and Consumption with Transaction Costs
This paper concerns continuous-time optimal investment and consumption decision of a CRRA investor who faces proportional transaction costs and finite time horizon. In the no consumption case, it has been studied by Liu and Loewenstein (2002) and Dai and Yi (2006). Mathematically, it is a singular stochastic control problem whose value function satisfies a parabolic variational inequality with ...
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ژورنال
عنوان ژورنال: Journal of Differential Equations
سال: 2009
ISSN: 0022-0396
DOI: 10.1016/j.jde.2008.11.003