On the investment-consumption model with transaction costs

Abstract : This paper considers the optimal consumption and investment policy for an investor who has avaible one bank account paying a fixed interest rate r and n risky assets whose prices are log-normal diffusions. We suppose that transactions between the assets incur a cost proportional tothe size of the transaction. The problem is to maximize the total utility of consumption. Dynamic programming leads to a variational inequality is solved, by using a numerical algorithm based on policies iterations and multigrid methods. Numerical results are displayed for n =1 and n =2.
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Rapport
[Research Report] RR-1926, INRIA. 1993
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https://hal.inria.fr/inria-00074748
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Soumis le : mercredi 24 mai 2006 - 16:13:34
Dernière modification le : mardi 17 avril 2018 - 11:28:43
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Marianne Akian, J.L. Menaldi, Agnès Sulem. On the investment-consumption model with transaction costs. [Research Report] RR-1926, INRIA. 1993. 〈inria-00074748〉

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