Title :
Portfolio selection with transaction costs
Author_Institution :
Dept. of Math., Carnegie Mellon Univ., Pittsburgh, PA, USA
Abstract :
The author studies a stochastic optimization problem modeling the consumption and investment problem of a single agent. The model contains linear transaction costs and has been already studied by M.H.A. Davis and A.R. Norman (1990). In this paper, the author carries out the analysis under minimal assumptions and also for the deterministic case
Keywords :
investment; optimisation; stochastic processes; consumption; deterministic case; investment; minimal assumptions; portfolio selection; stochastic optimization; stochastic processes; transaction costs; Bonding; Costs; Equations; Investments; Mathematical model; Mathematics; Page description languages; Portfolios; Stochastic processes;
Conference_Titel :
Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
Conference_Location :
Brighton
Print_ISBN :
0-7803-0450-0
DOI :
10.1109/CDC.1991.261602
