Consumption-investment problems with transaction costs: Survey and open problems
type: Item
instance of: scholarly article
title: Consumption-investment problems with transaction costs: Survey and open problems
zbMATH Open document ID: 0947.91042
author: Abel Cadenillas
published in: Mathematical Methods of Operations Research
publication date: 2000-11-12T00:00:00Z
review text: This paper gives a survey of problems and methods contained in various works on consumption/investment problems without or with transaction costs in continuous time. The transaction costs are proportional, fixed and proportional, as a fixed proportion of wealth, taxes and transaction costs. The methods are optimal stopping, stochastic singular control, and stochastic impulse control. Some open problems in this area of research are also given.
reviewed by: Klaus Ehemann
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 91-02
Mathematics Subject Classification ID: 93E99
zbMATH DE Number: 1441490
zbMATH Keywords: consumption
zbMATH Keywords: investment
zbMATH Keywords: survey
zbMATH Keywords: transaction costs
zbMATH Keywords: optimal stopping
zbMATH Keywords: stochastic singular control
zbMATH Keywords: stochastic impulse control
MaRDI profile type: Publication
full work available at URL: s001860050002
OpenAlex ID: W1963846402
DOI: 10.1007/S001860050002
description: scientific article; zbMATH DE number 1441490