Abstract
A complete solution is provided to the infinite-horizon, discounted problem of optimal consumption and investment in a market with one stock, one money market (sometimes called a "bond") and proportional transaction costs. The utility function may be of the form
Citation
S. E. Shreve. H. M. Soner. "Optimal Investment and Consumption with Transaction Costs." Ann. Appl. Probab. 4 (3) 609 - 692, August, 1994. https://doi.org/10.1214/aoap/1177004966
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