Optimal Consumption and Investment with Transaction（连续时间金融有关）

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题目：Optimal Consumption and Investment with Transaction 　　　Costs and Multiple Risky Assets

　　　HONG LIU

主要内容：We consider the optimal intertemporal consumption and investment policy of a CARA investor who faces ¯xed 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 either of these thresholds, to trade to the corresponding optimal targets. An extensive analysis suggests that transaction cost is an important factor in a®ecting trading volume and that it can signi¯cantly diminish the importance of stock return predictability as reported in the literature.

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2005-5-11 12:26:00 上传

Optimal Consumption and Investment with Transaction（连续时间金融有关）

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关键词：consumption Transaction Investment investmen optimal Investment consumption optimal 连续时间 Transaction