Characterization of optimal strategy for multiasset investment and consumption with transaction costs

10.1137/120898991

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Bibliographic Details
Main Authors:	Chen, X., Dai, M.
Other Authors:	MATHEMATICS
Format:	Article
Published:	2014
Subjects:	Multiple risky assets Optimal investment and consumption Portfolio selection Shape and location of no-trading regions Transaction costs
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/102977
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-102977
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spelling	sg-nus-scholar.10635-1029772023-10-25T22:12:41Z Characterization of optimal strategy for multiasset investment and consumption with transaction costs Chen, X. Dai, M. MATHEMATICS Multiple risky assets Optimal investment and consumption Portfolio selection Shape and location of no-trading regions Transaction costs 10.1137/120898991 SIAM Journal on Financial Mathematics 4 1 857-883 2014-10-28T02:31:57Z 2014-10-28T02:31:57Z 2013 Article 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 1945497X http://scholarbank.nus.edu.sg/handle/10635/102977 000328888900031 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Multiple risky assets Optimal investment and consumption Portfolio selection Shape and location of no-trading regions Transaction costs
spellingShingle	Multiple risky assets Optimal investment and consumption Portfolio selection Shape and location of no-trading regions Transaction costs Chen, X. Dai, M. Characterization of optimal strategy for multiasset investment and consumption with transaction costs
description	10.1137/120898991
author2	MATHEMATICS
author_facet	MATHEMATICS Chen, X. Dai, M.
format	Article
author	Chen, X. Dai, M.
author_sort	Chen, X.
title	Characterization of optimal strategy for multiasset investment and consumption with transaction costs
title_short	Characterization of optimal strategy for multiasset investment and consumption with transaction costs
title_full	Characterization of optimal strategy for multiasset investment and consumption with transaction costs
title_fullStr	Characterization of optimal strategy for multiasset investment and consumption with transaction costs
title_full_unstemmed	Characterization of optimal strategy for multiasset investment and consumption with transaction costs
title_sort	characterization of optimal strategy for multiasset investment and consumption with transaction costs
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/102977
_version_	1781787663754330112

Characterization of optimal strategy for multiasset investment and consumption with transaction costs

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