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首页> 外文期刊>Journal of applied mathematics and stochastic analysis: J.A.M.S.A >Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction Costs—Part I
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Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction Costs—Part I

机译：含税和固定比例交易成本的遗传资产组合优化-第一部分

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摘要

This is the first of the two companion papers which treat an infinite time horizon hereditary portfolio optimization problem in a market that consists of one savings account and one stock account. Within the solvency region, the investor is allowed to consume from the savings account and can make transactions between the two assets subject to paying capital gain taxes as well as a fixed plus proportional transaction cost. The investor is to seek an optimal consumption-trading strategy in order to maximize the expected utility from the total discounted consumption. The portfolio optimization problem is formulated as an infinite dimensional stochastic classical-impulse control problem. The quasi-variational HJB inequality (QVHJBI) for the value function is derived in this paper. The second paper contains the verification theorem for the optimal strategy. It is also shown there that the value function is a viscosity solution of the QVHJBI.
机译：这是两篇伴随论文中的第一篇，该论文处理了一个由一个储蓄账户和一个股票账户组成的市场中的无限时间范围遗传资产组合优化问题。在偿付能力区内，允许投资者从储蓄账户中消费，并可以在两个资产之间进行交易，但要缴纳资本增值税，以及固定的和成比例的交易成本。投资者将寻求一种最佳的消费交易策略，以使总折扣消费中的预期效用最大化。投资组合优化问题被表述为一个无限维的随机经典脉冲控制问题。本文推导了值函数的准变分HJB不等式（QVHJBI）。第二篇论文包含最优策略的验证定理。在此还表明，值函数是QVHJBI的粘度溶液。

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