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A multi-asset investment and consumption problem with transaction costs |
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| Authors: | Hobson David Tse Alex S. L. Zhu Yeqi |
| Affiliation: | 1.Department of Statistics, University of Warwick, Coventry, CV4 7AL, UK ;2.Department of Mathematics, Imperial College London, London, SW7 2AZ, UK ;3.Credit Suisse, London, UK ; |
| Abstract: | Finance and Stochastics - In this article, we study a multi-asset version of the Merton investment and consumption problem with CRRA utility and proportional transaction costs. We specialise to a... |
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