Optimal consumption and investment under transaction costs*

DOI10.1111/MAFI.12187zbMath1411.91508arXiv1612.00720OpenAlexW2560749480MaRDI QIDQ5377181

Yeqi Zhu, Alex S. L. Tse, David G. Hobson

Publication date: 23 May 2019

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.00720

zbMATH Keywords

well-posednessleverageproportional transaction costsMerton problemno transaction region

Mathematics Subject Classification ID

Portfolio theory (91G10)

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A multi-asset investment and consumption problem with transaction costs ⋮ Speculative trading, prospect theory and transaction costs

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