Please use this identifier to cite or link to this item: https://doi.org/10.1137/120898991
Title: Characterization of optimal strategy for multiasset investment and consumption with transaction costs
Authors: Chen, X.
Dai, M. 
Keywords: Multiple risky assets
Optimal investment and consumption
Portfolio selection
Shape and location of no-trading regions
Transaction costs
Issue Date: 2013
Source: Chen, X., Dai, M. (2013). Characterization of optimal strategy for multiasset investment and consumption with transaction costs. SIAM Journal on Financial Mathematics 4 (1) : 857-883. ScholarBank@NUS Repository. https://doi.org/10.1137/120898991
Abstract: We consider the optimal consumption and investment with transaction costs on multiple assets, where the prices of risky assets jointly follow a multidimensional geometric Brownian motion. We characterize the optimal investment strategy and in particular prove by rigorous mathematical analysis that the trading region has the shape that is very much needed for well defining the trading strategy; e.g., the no-trading region has distinct corners. In contrast, the existing literature is restricted to either a single risky asset or multiple uncorrelated risky assets. © 2013 Society for Industrial and Applied Mathematics.
Source Title: SIAM Journal on Financial Mathematics
URI: http://scholarbank.nus.edu.sg/handle/10635/102977
ISSN: 1945497X
DOI: 10.1137/120898991
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