Optimal consumption and investment problems under GARCH with transaction costs

2005 ◽  
Vol 61 (2) ◽  
pp. 219-237 ◽  
Author(s):  
Zhiping Chen ◽  
K. C. Yuen
Keyword(s):  
Transaction Costs ◽  
Optimal Consumption ◽  
Optimal Consumption And Investment ◽  
Consumption And Investment Problems

scholarly journals Optimal Consumption and Investment with Fixed and Proportional Transaction Costs

2017 ◽  
Vol 55 (3) ◽  
pp. 1673-1710 ◽  
Author(s):  
Albert Altarovici ◽  
Max Reppen ◽  
H. Mete Soner
Keyword(s):  
Transaction Costs ◽  
Optimal Consumption ◽  
Proportional Transaction Costs ◽  
Optimal Consumption And Investment

scholarly journals Optimal consumption and investment under transaction costs*

2018 ◽  
Vol 29 (2) ◽  
pp. 483-506 ◽  
Author(s):  
David Hobson ◽  
Alex S. L. Tse ◽  
Yeqi Zhu
Keyword(s):  
Transaction Costs ◽  
Optimal Consumption ◽  
Optimal Consumption And Investment

Optimal Consumption and Investment

2019 ◽  
pp. 351-363
Author(s):  
Tomas Björk
Keyword(s):  
General Theory ◽  
Mutual Fund ◽  
Optimal Consumption ◽  
Merton Problem ◽  
Optimal Consumption And Investment ◽  
Consumption And Investment Problems

In this chapter we apply the general theory from Chapter 25 to the study of optimal consumption and investment problems. We solve the Merton problem and we derive the Merton mutual fund theorems.

创业企业家的最优消费与投资<br>Optimal Consumption and Investment for an Entrepreneur

Finance ◽  
2011 ◽  
Vol 01 (01) ◽  
pp. 1-6
Author(s):  
杨 金强
Keyword(s):  
Optimal Consumption ◽  
Optimal Consumption And Investment

Deterministic mean-variance-optimal consumption and investment

Stochastics ◽  
2013 ◽  
Vol 85 (4) ◽  
pp. 620-636 ◽  
Author(s):  
Marcus Christiansen ◽  
Mogens Steffensen
Keyword(s):  
Optimal Consumption ◽  
Optimal Consumption And Investment ◽  
Mean Variance
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