Asymptotic analysis for optimal investment and consumption with transaction costs

Abstract

We consider an agent who invests in a stock and a money market and consumes in order to maximize the utility of consumption over an infinite planning horizon in the presence of a proportional transaction cost λ >. The utility function is of the form U(c) = c1−p/(1− p) for p > 0, p 6= 1. We provide a heuristic and a rigorous derivation of the asymptotic… (More)
DOI: 10.1007/s00780-003-0113-4

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