Optimal consumption and investment with fixed and proportional transaction costs

Albert Altarovici, Max Reppen, H. Mete Soner

Research output: Contribution to journalArticlepeer-review

21 Scopus citations


The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming is proved in the general setting, and a comparison result for possibly discontinuous viscosity solutions of the dynamic programming equation is provided. Detailed numerical experiments illustrate several properties of the optimal investment strategies.

Original languageEnglish (US)
Pages (from-to)1673-1710
Number of pages38
JournalSIAM Journal on Control and Optimization
Issue number3
StatePublished - 2017
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Control and Optimization
  • Applied Mathematics


  • Dynamic Programming
  • Fixed Costs
  • Merton Problem
  • Transaction Costs
  • Viscosity Solutions


Dive into the research topics of 'Optimal consumption and investment with fixed and proportional transaction costs'. Together they form a unique fingerprint.

Cite this