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Optimal Consumption and Investment with Fixed and Proportional Transaction Costs (1610.03958v1)
Published 13 Oct 2016 in q-fin.PM and math.OC
Abstract: The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming is proved in the general setting and a comparison result for possibly discontinuous viscosity solutions of the dynamic programming equation is provided. Detailed numerical experiments illustrate several properties of the optimal investment strategies.