带交易费的终端资产和消费的期望贴现效用最大化

Expected discounted utility maximization from consumption and terminal wealth with transaction costs

讨论带有一定比例交易费的关于贴现消费和贴现终端资产的期望效用最大化问题.在假定T时刻将资金全部转到银行中,利用对偶方法,求得最优消费c(t)和最大的终端财富X(T+).

This paper discusses the problem of expected discounted utility maximization from terminal wealth and consumption with proportional transaction costs.Under the condition that at time T all the funds are transferred to the bank account, the optimal consumption (t) and the maximized terminal wealth (T+) are found by using the dual theory.