Finite Horizon Optimal Investment and Consumption with Transaction Costs.
Min DaiLishang JiangPeifan LiFahuai YiPublished in: SIAM J. Control. Optim. (2009)
Keyphrases
- finite horizon
- optimal stopping
- transaction costs
- infinite horizon
- optimal policy
- markov decision processes
- single product
- inventory models
- multistage
- long run
- average cost
- inventory control
- dynamic programming
- portfolio management
- periodic review
- markov decision process
- optimal control
- lot size
- decision making
- single item
- yield management
- finite state
- optimal solution
- state space
- non stationary
- long term