Optimal investment with stochastic differential utility and transaction costs

Lead Research Organisation: University of Warwick
Department Name: Statistics


My project will aim to investigate how an investor with a stochastic differential utility function should optimally invest his wealth. I will consider the infinite time horizon problem with proportional transaction costs.

I will start by investigating the early papers by Merton and then building more realistic assumptions into the model. I expect the value function to end up being determined by a time dependent HJB equation.


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Studentship Projects

Project Reference Relationship Related To Start End Student Name
EP/N509796/1 01/10/2016 30/09/2021
1940062 Studentship EP/N509796/1 02/10/2017 31/03/2021 John Joseph Jerome