Intertemporal portfolio optimization with small transaction costs and stochastic variance

The solution to the intertemporal optimal portfolio selection and consumption rule with small transaction costs is derived via the use of perturbation analysis for the two assets portfolio, one risky and one riskfree. This methodology allows us to apply a broader specification for the function of utility. The additional feature of stochastic variance is also included.

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Year of publication:	2003
Authors:	Atkinson, C. ; Mokkhavesa, S.
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 10.2003, 4, p. 267-302
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005462503