A multi-asset investment and consumption problem with transaction costs

• Main Authors: Hobson, David, Tse, Alex S. L, Zhu, Yeqi
• Format: Journal Article
• Language: English
• Published: 05.12.2016
• Subjects: Quantitative Finance - Mathematical Finance

In this article we study a multi-asset version of the Merton investment and consumption problem with proportional transaction costs. In general it is difficult to make analytical progress towards a solution in such problems, but we specialise to a case where transaction costs are zero except for sal...