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

We consider the optimal consumption and investment with transaction costs on multiple assets, where the prices of risky assets jointly follow a multi-dimensional geometric Brownian motion. We characterize the optimal investment strategy and in particular prove by rigorous mathematical analysis...

This paper concerns continuous-time optimal investment and consumption decision of a CRRA investor who faces proportional transaction costs and finite time horizon. In the no consumption case, it has been studied by Liu and Loewenstein (2002) and Dai and Yi (2006). Mathematically, it is a...

Although prevalent in the financial markets, transaction costs have been largely ignored in the existing literature on the impact of capital gains tax. We develop a dynamic portfolio model that incorporates both transaction costs and annually payable capital gains taxes. We theoretically...

Should an investor unwind his portfolio in the face of changing economic conditions? We study an investor's optimal trading strategy with finite horizon and transaction costs in an economy that switches stochastically between two market conditions. We fully characterize the investor's time...