2 citations · 4 across the 3 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.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…
q-fin.MF2014★ 2 cited
Optimal consumption and sale strategies for a risk averse agent
David Hobson, Yeqi Zhu
In this article we consider a special case of an optimal consumption/optimal portfolio problem first studied by Constantinides and Magill and by Davis and Norman, in which an agent…