Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs

DOI10.1137/120898991zbMath1283.91165OpenAlexW3122267193MaRDI QIDQ2873152

Xinfu Chen, Min Dai

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/1164208d107647f1b308af465f1fc364f2069cb0

zbMATH Keywords

transaction costsconsumptionportfolio selectionoptimal investmentmultiple risky assetsno-trading regions

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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