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Rapport (Rapport De Recherche) Année : 1993

On the investment-consumption model with transaction costs

Résumé

This paper considers the optimal consumption and investment policy for an investor who has avaible one bank account paying a fixed interest rate r and n risky assets whose prices are log-normal diffusions. We suppose that transactions between the assets incur a cost proportional tothe size of the transaction. The problem is to maximize the total utility of consumption. Dynamic programming leads to a variational inequality is solved, by using a numerical algorithm based on policies iterations and multigrid methods. Numerical results are displayed for n =1 and n =2.

Domaines

Autre [cs.OH]
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Dates et versions

inria-00074748 , version 1 (24-05-2006)

Identifiants

  • HAL Id : inria-00074748 , version 1

Citer

Marianne Akian, J.L. Menaldi, Agnès Sulem. On the investment-consumption model with transaction costs. [Research Report] RR-1926, INRIA. 1993. ⟨inria-00074748⟩
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