An exact solution to a dynamic portfolio choice problem under transaction costs

Article Abstract:

The presence of any friction in financial markets qualitatively changes the nature of the optimization problem faced by an investor. It requires one to either act or do nothing, an issue which, of course, does not rise in frictionless situations. The investor considered here accumulates wealth without consuming until some terminal point in time when he consumes all. His objectives is to maximize the expected utility derived from that terminal consumption. We postpone the terminal point far into the future to obtain a stationary portfolio rule. The portfolio policy is in the form of two control barriers between which portfolio proportions are allowed to fluctuate. We show how to calculate them. (Reprinted by permission of the publisher.)

Research, Portfolio management, Investment analysis, Securities analysis, Financial research

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Asset trading volume with dynamically complete markets and heterogeneous agents

Article Abstract:

Research indicates that other trade causes must be evident in large trading volume asset markets. Topics include infinitely lived securities trading volume, Lucas asset pricing models, general equilibrium restrictions and equity trading.

United States, Asset & Risk Management, Asset Accounting, Comparative analysis, Assets (Accounting), Commerce, Econometric models

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