A note on finite horizon optimal investment and consumption with transaction costs

Min  Dai; Zhou  Yang

doi:10.3934/dcdsb.2016005

Article Contents

2016, Volume 21, Issue 5: 1445-1454. Doi: 10.3934/dcdsb.2016005

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A note on finite horizon optimal investment and consumption with transaction costs

Min Dai^1, and
Zhou Yang^2,

1.
Dept of Math and Center for Quantitative Finance, National University of Singapore
2.
School of Mathematical Science, South China Normal University, Guangzhou

Received: October 2013

Revised: March 2014

Published: July 2016

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Abstract

In this note, we remove the technical assumption $\gamma>0$ imposed by Dai et. al. [SIAM J. Control Optim., 48 (2009), pp. 1134-1154] who consider the optimal investment and consumption decision of a CRRA investor facing proportional transaction costs and finite time horizon. Moreover, we present an estimate on the resulting optimal consumption.

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Mathematics Subject Classification: Primary: 35k86, 35Q91; Secondary: 60H10.

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References

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