Title :
Stochastic impulse control for a consumption problem with fixed and proportional transaction costs
Author :
Cadenillas, Abel
Author_Institution :
Dept. of Math. Sci., Alberta Univ., Edmonton, Alta., Canada
Abstract :
We consider an investor whose wealth is determined by a single stock modeled by a geometric Brownian motion. The investor can consume part of his wealth at any time, but must pay both fixed and proportional transaction costs. The objective of the investor is to maximize expected utility from consumption. We solve this problem explicitly by applying the theory of stochastic impulse controls
Keywords :
Brownian motion; costing; economic cybernetics; investment; stock markets; consumption problem; geometric Brownian motion; investment; proportional transaction costs; stochastic impulse control; stock market; Bonding; Costs; Councils; Economic indicators; Investments; Portfolios; Proportional control; Solid modeling; Stochastic processes; Utility theory;
Conference_Titel :
Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
Conference_Location :
Phoenix, AZ
Print_ISBN :
0-7803-5250-5
DOI :
10.1109/CDC.1999.831358
