Optimal Portfolio Selection in a Jump-Diffusion Market with both Fixed and Proportional Transaction Costs

摘要：

The optimal portfolio selection problem for a constant relative risk averse(CRRA)investor who faces fixed and proportional transaction costs and maximizes the total expected utility of consumption over a planning horizon is considered.We use a continuous-time model with one riskless and one risky asset,in which the price of the risky asset is governed by jump-diffusion process. This problem is formulated as a combined stochastic control and impulse control problem whose solution is obtained by using Quasi-Variational Inequlities(QVI).Some properities of the value function of this problem are also discussed.

关键词： portfolio selection transaction costs impulse control jump-diffusion model QVI

作者: Guohe Deng

作者单位: Postdoctoral Research Workstation of Mathematics,Hunan University,Changsha 410082,China;School of Mathematics,Guangxi Normal University,Guilin 541004,China

会议类型: 国际会议

会议名称: 2008 International Conference on System Management(2008年系统管理学术研讨会)(2008 CSM)

会议地点: 上海

会议语种:英文

页码: 346-354

在线出版日期: 2008-05-30（万方平台首次上网日期，不代表论文的发表时间）