Abstract
This paper considers an infinite horizon investment-consumption model in which a single agent consumes and distributes his wealth between 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 variational inequality with gradient constraints. A monotone numerical scheme is then constructed in order to compute both the value function and the location of the free boundaries of the so-called transaction regions.
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A. Tourin, Thèse de Doctorat, Université Paris IX-Dauphine, Januar 1992.
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Tourin, A., Zariphopoulou, T. (1995). Portfolio Selection with Transaction Costs. In: Bolthausen, E., Dozzi, M., Russo, F. (eds) Seminar on Stochastic Analysis, Random Fields and Applications. Progress in Probability, vol 36. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-7026-9_27
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DOI: https://doi.org/10.1007/978-3-0348-7026-9_27
Publisher Name: Birkhäuser, Basel
Print ISBN: 978-3-0348-7028-3
Online ISBN: 978-3-0348-7026-9
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