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DC Field | Value | Language |
---|---|---|
dc.citation.endPage | 4449 | - |
dc.citation.number | 6 | - |
dc.citation.startPage | 4414 | - |
dc.citation.title | SIAM JOURNAL ON CONTROL AND OPTIMIZATION | - |
dc.citation.volume | 51 | - |
dc.contributor.author | Choi, Jin Hyuk | - |
dc.contributor.author | Sirbu, Mihai | - |
dc.contributor.author | Zitkovic, Gordan | - |
dc.date.accessioned | 2023-12-22T04:36:15Z | - |
dc.date.available | 2023-12-22T04:36:15Z | - |
dc.date.created | 2016-08-25 | - |
dc.date.issued | 2013 | - |
dc.description.abstract | We revisit the optimal investment and consumption model of Davis and Norman [Math. Oper. Res., 15 (1990), pp. 676-713] and Shreve and Soner [Ann. Appl. Probab., 4 (1994), pp. 609-692], following a shadow-price approach similar to that of Kallsen and Muhle-Karbe [Ann. Appl. Probab., 20 (2010), pp. 1341-1358]. Making use of the completeness of the model without transaction costs, we reformulate and reduce the Hamilton-Jacobi-Bellman equation for this singular stochastic control problem to a nonstandard free-boundary problem for a first-order ODE with an integral constraint. Having shown that the free boundary problem has a smooth solution, we use it to construct the solution of the original optimal investment/consumption problem in a self-contained manner and without any recourse to the dynamic programming principle. Furthermore, we provide an explicit characterization of model parameters for which the value function is finite | - |
dc.identifier.bibliographicCitation | SIAM JOURNAL ON CONTROL AND OPTIMIZATION, v.51, no.6, pp.4414 - 4449 | - |
dc.identifier.doi | 10.1137/120881373 | - |
dc.identifier.issn | 0363-0129 | - |
dc.identifier.scopusid | 2-s2.0-84891278767 | - |
dc.identifier.uri | https://scholarworks.unist.ac.kr/handle/201301/20301 | - |
dc.identifier.url | http://epubs.siam.org/doi/abs/10.1137/120881373 | - |
dc.identifier.wosid | 000328900000009 | - |
dc.language | 영어 | - |
dc.publisher | SIAM PUBLICATIONS | - |
dc.title | SHADOW PRICES AND WELL-POSEDNESS IN THE PROBLEM OF OPTIMAL INVESTMENT AND CONSUMPTION WITH TRANSACTION COSTS | - |
dc.type | Article | - |
dc.description.isOpenAccess | FALSE | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.subject.keywordAuthor | transaction costs | - |
dc.subject.keywordAuthor | optimal investment | - |
dc.subject.keywordAuthor | optimal consumption | - |
dc.subject.keywordAuthor | singular control | - |
dc.subject.keywordAuthor | free boundary problem | - |
dc.subject.keywordAuthor | shadow price | - |
dc.subject.keywordPlus | PORTFOLIO SELECTION | - |
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