2 citations · 2 across the 2 of their papers we have counts for
3 papers
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-…
q-fin.MF2014
Multi-asset consumption-investment problems with infinite transaction costs
David Hobson, Yeqi Zhu
The subject of this paper is an optimal consumption/optimal portfolio problem with transaction costs and with multiple risky assets. In our model the transaction costs take a speci…