Multi-asset investment-consumption model with transaction costs

In this paper, we consider the multi-asset optimal investment-consumption model: a riskless asset and d risky assets. when the initial time is t 0, for a proportional transaction costs and discount factors, we proof that the value function of the model is a unique viscosity solution of a Hamilton– Jacobi–Bellman (HJB) equations.  2005 Elsevier Inc. All rights reserved.