DocumentCode
1814666
Title
Stochastic impulse control for a consumption problem with fixed and proportional transaction costs
Author
Cadenillas, Abel
Author_Institution
Dept. of Math. Sci., Alberta Univ., Edmonton, Alta., Canada
Volume
3
fYear
1999
fDate
1999
Firstpage
2804
Abstract
We consider an investor whose wealth is determined by a single stock modeled by a geometric Brownian motion. The investor can consume part of his wealth at any time, but must pay both fixed and proportional transaction costs. The objective of the investor is to maximize expected utility from consumption. We solve this problem explicitly by applying the theory of stochastic impulse controls
Keywords
Brownian motion; costing; economic cybernetics; investment; stock markets; consumption problem; geometric Brownian motion; investment; proportional transaction costs; stochastic impulse control; stock market; Bonding; Costs; Councils; Economic indicators; Investments; Portfolios; Proportional control; Solid modeling; Stochastic processes; Utility theory;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
Conference_Location
Phoenix, AZ
ISSN
0191-2216
Print_ISBN
0-7803-5250-5
Type
conf
DOI
10.1109/CDC.1999.831358
Filename
831358
Link To Document