Title :
Research on Investment-Consumption Problem with Proportional Transaction Costs
Author :
Guo, Fu-hua ; Deng, Fei-qi
Author_Institution :
Inst. of Syst. Eng., South China Univ. of Technol., Guangzhou
Abstract :
Investment consumption problem with proportional transaction costs is researched in this paper by the method of non-singular stochastic optimal control. It is easy to obtain buying, selling and no transaction regions in the solvency region and corresponding optimal buying, selling and consumption policies, because the expressions of the optimization problem obtained from this method is quadratic. Optimal buying, selling and consumption policies are obtained explicitly in this paper, since the investor´s utility is homothetic
Keywords :
costing; investment; optimal control; optimisation; stochastic systems; investment-consumption problem; nonsingular stochastic optimal control; optimization problem; proportional transaction cost; trading policy; trading region; Cost function; Cybernetics; Differential equations; Investments; Machine learning; Optimal control; Optimization methods; Portfolios; Stochastic processes; Stochastic systems; Systems engineering and theory; Utility theory; Investment-consumption; Trading policies; Trading regions; Transaction costs;
Conference_Titel :
Machine Learning and Cybernetics, 2006 International Conference on
Conference_Location :
Dalian, China
Print_ISBN :
1-4244-0061-9
DOI :
10.1109/ICMLC.2006.258450
