Optimal Investment and Consumption with Transaction Costs
نویسندگان
چکیده
منابع مشابه
Optimal investment and consumption with transaction costs
An agent can invest in a high—yield bond and a low—yield bond, holding either long or short positions in either asset. Any movement of money between these two assets incurs a transaction cost proportional to the size of the transaction. The low—yield bond is liquid in the sense that wealth invested in this bond can be consumed directly without a transaction cost; wealth invested in the high—yie...
متن کاملAsymptotic analysis for optimal investment and consumption with transaction costs
We consider an agent who invests in a stock and a money market and consumes in order to maximize the utility of consumption over an infinite planning horizon in the presence of a proportional transaction cost λ >. The utility function is of the form U(c) = c1−p/(1− p) for p > 0, p 6= 1. We provide a heuristic and a rigorous derivation of the asymptotic expansion of the value function in powers ...
متن کاملFinite 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 ...
متن کاملOptimal Investment Under Transaction Costs
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d. discrete-time two-asset markets under proportional transaction costs. We then extend our analysis to cover markets having more than two stocks. The market is modele...
متن کاملGrowth Optimal Investment with Transaction Costs
Discrete time infinite horizon growth optimal investment in stock markets with transactions costs is considered. The stock processes are modelled by homogeneous Markov processes. Assuming that the distribution of the market process is known, we show two recursive investment strategies such that, in the long run, the growth rate on trajectories (in "liminf" sense) is greater than or equal to the...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 1994
ISSN: 1050-5164
DOI: 10.1214/aoap/1177004966