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
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;
Conference_Titel :
Decision and Control, 1990., Proceedings of the 29th IEEE Conference on
Conference_Location :
Honolulu, HI
DOI :
10.1109/CDC.1990.204048
