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Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
Shadow prices well-posedness the problem of optimal investment consumption transaction costs Portfolio Management
2012/4/28
We revisit the optimal investment and consumption model of Davis and Norman (1990) and Shreve and Soner (1994), following a shadow-price approach similar to that of Kallsen and Muhle-Karbe (2010). Mak...
On Investment-Consumption with Regime-Switching
Portfolio optimization time inconsistency equilibrium policies regime-switching discounting
2011/7/20
In a continuous time stochastic economy, this paper considers the problem of consumption
and investment in a financial market in which the representative investor exhibits a change in the discount ra...