Characterization of optimal strategy for multiasset investment and consumption with transaction costs (Q2873152)

The authors ``consider the optimal consumption and investment with transaction costs on multiple assets, where the prices of risky assets jointly follow a multidimensional geometric Brownian motion.'' They ``characterize the optimal investment strategy and in particular prove by rigorous mathematical analysis that [\dots] the no-trading region has distinct corners.'' The considered case may be applied for a description of how to well-define the trading strategy. In contrast, the existing literature is restricted to either a single risky asset or multiple uncorrelated risky assets. All theorems are carefully proved.