英文标题：
《Optimal Consumption and Investment with Fixed and Proportional
Transaction Costs》
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作者：
Albert Altarovici and Max Reppen and H. Mete Soner
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最新提交年份：
2016
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英文摘要：
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming is proved in the general setting and a comparison result for possibly discontinuous viscosity solutions of the dynamic programming equation is provided. Detailed numerical experiments illustrate several properties of the optimal investment strategies.
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中文摘要：
研究了存在交易费用的经典无限期最优投资与消费问题。同时考虑了比例成本和固定成本以及一般效用函数。在一般条件下证明了弱动态规划，并给出了动态规划方程可能不连续粘性解的比较结果。详细的数值实验说明了最优投资策略的若干性质。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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