Multiple Risky Assets, Transaction Costs and Return Predictability: Implications for Portfolio Choice
نویسندگان
چکیده
منابع مشابه
Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets
We consider the optimal intertemporal consumption and investment policy of a constant absolute risk aversion (CARA) investor who faces fixed and proportional transaction costs when trading multiple risky assets. We show that when asset returns are uncorrelated, the optimal investment policy is to keep the dollar amount invested in each risky asset between two constant levels and upon reaching e...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2002
ISSN: 1556-5068
DOI: 10.2139/ssrn.364942