Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction Costs—Part II

[摘要] This paper is the continuation ofthe paper entitled “Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs I” that treats an infinite-time horizon hereditary portfolio optimization problem in a marketthat consists of onesavingsaccount and onestockaccount. Within thesolvencyregion, the investor is allowed to consume from thesavingsaccount and can make transactions between the two assets subject to paying capital-gain taxes as well as a fixed plus proportional transaction cost. Theinvestoris 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 dimensionalstochastic classical impulse control problem due to the hereditary natureof the stock price dynamics and inventories. This papercontains the verification theorem for the optimal strategy. It also provesthat the value function is a viscosity solution of the QVHJBI.

[学科分类] 应用数学