电力公司交易费用情况下Merton问题的渐近分析

Pub Date : 2013-09-01 DOI:10.1080/17442508.2013.879142

J. Choi

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引用次数: 4

摘要

我们重新考虑了交易成本成比例的最优投资和消费问题。证明了交易成本参数的立方根的解析函数和无交易区域分界线的斜率。此外，我们还可以显式地计算出价值函数和非贸易区域的分数阶幂级数展开式的系数。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Asymptotic analysis for Merton's problem with transaction costs in power utility case

We revisit the optimal investment and consumption problem with proportional transaction costs. We prove that both the value function and the slopes of the lines demarcating the no-trading region are analytic functions of cube root of the transaction cost parameter. Also, we can explicitly calculate the coefficients of the fractional power series expansions of the value function and the no-trading region.

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