A Note on Finite Horizon Optimal Investment and Consumption with Transaction Cost
SIAM Journal of Control and Optimization, Vol. 48, pp. 1134-1154, 2009
8 Pages Posted: 9 Mar 2011
Date Written: July 8, 2009
We remove the technical assumption $\gamma>0$ imposed by Dai et. al. who consider the optimal investment and consumption decision of a CRRA investor facing proportional transaction costs and finite time horizon. As a by-product, we obtain an estimate on the optimal consumption.
Keywords: optimal investment and consumption, transaction costs, finite horizon
JEL Classification: G11, D23
Suggested Citation: Suggested Citation