Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints

2020 ◽  
Author(s):  
Junkee Jeon ◽  
Myungjoo Kang ◽  
Yong Hyun Shin
Keyword(s):  
Finite Time ◽  
Time Horizon ◽  
Optimal Investment ◽  
Time Varying ◽  
Finite Time Horizon ◽  
Optimal Investment And Consumption ◽  
Consumption Constraints

scholarly journals GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS

2004 ◽  
Vol 07 (05) ◽  
pp. 645-657 ◽  
Author(s):  
ERIK AURELL ◽  
PAOLO MURATORE-GINANNESCHI
Keyword(s):  
Transaction Costs ◽  
Finite Time ◽  
Optimal Strategy ◽  
Time Horizon ◽  
Optimal Strategies ◽  
Optimal Investment ◽  
Market Model ◽  
Time Investment ◽  
Bond Portfolio ◽  
Finite Time Horizon

We investigate the growth optimal strategy over a finite time horizon for a stock and bond portfolio in an analytically solvable multiplicative Markovian market model. We show that the optimal strategy consists in holding the amount of capital invested in stocks within an interval around an ideal optimal investment. The size of the holding interval is determined by the intensity of the transaction costs and the time horizon.

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