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q-fin.MF2016★ 2 cited
A multi-asset investment and consumption problem with transaction costs
David Hobson, Alex S. L. Tse, Yeqi Zhu
In this article we study a multi-asset version of the Merton investment and consumption problem with proportional transaction costs. In general it is difficult to make analytical p…
q-fin.MF2016
Optimal consumption and investment under transaction costs
David Hobson, Alex S. L. Tse, Yeqi Zhu
In this article we consider the Merton problem in a market with a single risky asset and transaction costs. We give a complete solution of the problem up to the solution of a free-…