An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs
给出了存在交易成本时投资者最大化终期消费期望效用的动态投资组合问题的精确解，将终期推至无穷远得到稳态策略，并展示了如何计算两个控制边界。
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.