Asymptotic analysis for optimal investment and consumption with transaction costs.
摘要：
We consider an agent who invests in a stock and a money market and consumes in order to maximize the utility of consumption over an infinite planning horizon in the presence of a proportional transaction cost λ > 0. The utility function is of the form U(c) = c<sup>1-p</sup> /(1 - p) for p > 0, p ≠ 1. We provide a heuristic and a rigorous derivation of the asymptotic expansion of the value function in powers of λ<sup>1/3</sup> , and we also obtain asymptotic results on the boundary of the "no-trade" region. [ FROM AUTHOR]
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2004
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