Optimal consumption and investment under transaction costs


We consider the Merton problem in a market with a single risky asset and proportional transaction costs and give a complete solution of the problem up to the solution of a first-crossing problem for a first-order differential... [ view full abstract ]


  1. David Hobson (University of Warwick)
  2. Alex Sing-lam Tse (University of Cambridge)
  3. Yeqi Zhu (Credit Suisse)

Topic Areas

Optimal Control , Optimal Investment , Transaction Costs


Th-A-B2 » Portfolio Optimisation with Transaction Costs (11:30 - Thursday, 19th July, Beckett 2)

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