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Multi-asset investment-consumption model with transaction costs |
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| Authors: | Xiao-Yan Zhao Zan-Kan Nie |
| Affiliation: | School of Science, Xi'an Jiaotong University, Xi'an, Shaan'xi 710049, People's Republic of China |
| Abstract: | 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. |
| Keywords: | Finance Investment-consumption and portfolio models HJB equation Viscosity solution Transaction costs Discount factor |
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