A note on finite horizon optimal investment and consumption with transaction costs

Abstract

In this note, we remove the technical assumption γ > 0 imposed by Dai et. al. [SIAM J. Control Optim., 48 (2009), pp. 1134-1154] who consider the optimal investment and consumption decision of a CRRA investor facing proportional transaction costs and finite time horizon. Moreover, we present an estimate on the resulting optimal consumption.