DocumentCode
3086100
Title
Investment-consumption models with transaction costs and Markov-chain parameters
Author
Zariphopoulou, Thaleia
Author_Institution
Dept. of Math. Sci., Worcester Polytech. Inst., MA, USA
fYear
1990
fDate
5-7 Dec 1990
Firstpage
2354
Abstract
An infinite-horizon investment-consumption model is considered in which the wealth of a single agent is consumed and distributed in two assets, a bond and a stock. The problem of maximization of the total utility from consumption is treated. State (amount allocated in assets) and control (consumption, rates of trading) constraints are present. It is shown that the value function is the unique viscosity solution of a system of variational inequalities with gradient constraints
Keywords
Markov processes; investment; Markov-chain parameters; bond; infinite-horizon investment-consumption model; stock; transaction costs; unique viscosity solution; value function; wealth; Asset management; Bonding; Costs; Equations; Finance; Infinite horizon; Investments; Mathematical model; Security; Viscosity;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1990., Proceedings of the 29th IEEE Conference on
Conference_Location
Honolulu, HI
Type
conf
DOI
10.1109/CDC.1990.204048
Filename
204048
Link To Document