Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
AbstractThe effect of convex transactions costs on consumers' derived utility functions and on optimal consumption and investment decisions is examined in a general multiperiod framework. The extent to which multiperiod consumption-investment behavior and capital market equilibrium may be studied in a single period framework is discussed. Optimal investment policy, in terms of a region of no transactions, is shown to be of a particularly simple form.
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Bibliographic InfoArticle provided by INFORMS in its journal Management Science.
Volume (Year): 25 (1979)
Issue (Month): 11 (November)
finance: investment criteria; decision analysis: sequential; utility/preference: theory;
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