A shadow-price approach of the problem of optimal investment/consumption with proportional transaction costs and utilities of power type

A shadow-price approach of the problem of optimal investment/consumption with proportional transaction costs and utilities of power type

We revisit the optimal investment and consumption model of Davis and Norman (1990) and Shreve and Soner (1994), following a shadow-price approach similar to that of Kallsen and Muhle-Karbe (2010). Making use of the completeness of the model without transaction costs, we reformulate and reduce the Ha...

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Bibliographic Details
Main Author: Choi, Jin Hyuk, 1983-
Format: Others
Language:English
Published: 2012
Subjects:
Optimal consumption
Singular stochastic control
Transaction costs
Shadow prices
Online Access:http://hdl.handle.net/2152/ETD-UT-2012-08-5926

Internet

http://hdl.handle.net/2152/ETD-UT-2012-08-5926

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