Title of article
Multi-asset investment-consumption model with transaction costs
Author/Authors
Xiao-Yan Zhao ?، نويسنده , , Zan-Kan Nie، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2005
Pages
13
From page
198
To page
210
Abstract
In this paper, we consider the multi-asset optimal investment-consumption model: a riskless asset
and d risky assets. when the initial time is t 0, for a proportional transaction costs and discount
factors, we proof that the value function of the model is a unique viscosity solution of a Hamilton–
Jacobi–Bellman (HJB) equations.
2005 Elsevier Inc. All rights reserved.
Keywords
Viscosity solution , Discount factor , finance , Investment-consumption and portfolio models , HJB equation , Transaction Costs
Journal title
Journal of Mathematical Analysis and Applications
Serial Year
2005
Journal title
Journal of Mathematical Analysis and Applications
Record number
934021
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