作者: M. H. A. Davis , A. R. Norman
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摘要: In this paper, optimal consumption and investment decisions are studied for an investor who has available a bank account paying fixed rate of interest stock whose price is log-normal diffusion. This problem was solved by Merton others when transactions between costless. Here we suppose that there charges on all equal to percentage the amount transacted. It shown buying selling policies local times two-dimensional process holdings at boundaries wedge-shaped region which determined solution nonlinear free boundary problem. An algorithm solving given.