A geometric approach to portfolio optimization in models with transaction costs

被引：15

作者：

Kabanov, Y

Klüppelberg, C

机构：

[1] Univ Franche Comte, F-25030 Besancon, France

[2] Cent Econ & Math Inst, Moscow, Russia

[3] Tech Univ Munich, Ctr Math Sci, D-85747 Garching, Germany

来源：

FINANCE AND STOCHASTICS | 2004年 / 8卷 / 02期

关键词：

currency market; transaction costs; consumption-investment problem; utility function; HJB equation; viscosity solution;

D O I：

10.1007/s00780-003-0114-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We consider a continuous-time stochastic optimization problem with infinite horizon, linear dynamics, and cone constraints which includes as a particular case portfolio selection problems under transaction costs for models of stock and currency markets. Using an appropriate geometric formalism we show that the Bellman function is the unique viscosity solution of a HJB equation.

引用

页码：207 / 227

页数：21

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