A Note on Finite Horizon Optimal Investment and Consumption with Transaction Cost

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

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Year of publication:	2011
Authors:	Dai, Min
Other Persons:	Yang, Zhou (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Transaktionskosten \| Transaction costs \| Portfolio-Management \| Portfolio selection

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Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: SIAM Journal of Control and Optimization, Vol. 48, pp. 1134-1154, 2009 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 8, 2009 erstellt
Classification:	G11 - Portfolio Choice ; D23 - Organizational Behavior; Transaction Costs; Property Rights
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013128738