Janeček, Karel; Shreve, Steven - In: Finance and Stochastics 8 (2004) 2, pp. 181-206
We consider an agent who invests in a stock and a money market and consumes in order to maximize the utility of consumption over an infinite planning horizon in the presence of a proportional transaction cost <InlineEquation ID="Equ1"> <EquationSource Format="TEX">$\lambda 0$</EquationSource> </InlineEquation>. The utility function is of the form U(c)=c <Superscript>1-p </Superscript>/(1-p) for p 0, <InlineEquation ID="Equ2"> <EquationSource Format="TEX">$p\neq...</equationsource></inlineequation></superscript></equationsource></inlineequation>