An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs
研究了存在交易成本的金融市场中，投资者如何在不消费、仅积累财富至终点的情形下，通过设定两个控制边界来最大化终期消费的期望效用，并给出了计算这些边界的方法。
ABSTRACT The presence of any friction in financial markets qualitatively changes the nature of the optimization problem faced by an investor. It requires one to either act or do nothing, an issue which, of course, does not arise in frictionless situations. The investor considered here accumulates wealth without consuming until some terminal point in time when he consumes all. His objective is to maximize the expected utility derived from that terminal consumption. We postpone the terminal point far into the future to obtain a stationary portfolio rule. The portfolio policy is in the form of two control barriers between which portfolio proportions are allowed to fluctuate. We show how to calculate them.