Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters

Thaleia Zariphopoulou

97 citations0/0 files storedSIAM Journal on Control and Optimization

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

Abstract

This paper considers an infinite horizon investment-consumption model in which a single agent consumes and distributes his wealth 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.

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1990Portfolio Selection with Transaction Costs 1986Capital Market Equilibrium with Transaction Costs 1976Essays on Economic Behavior Under Uncertainty.1988A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees 1979Multiperiod Consumption and Investment Behavior with Convex Transactions Costs 1975The Optimal Number of Securities in a Risky Asset Portfolio When There are Fixed Costs of Transacting: Theory and Some Empirical Results 1987An Optimal Stochastic Production Planning Problem with Randomly Fluctuating Demand

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