Multiperiod Consumption and Investment Behavior with Convex Transactions Costs

The effect of convex transactions costs on consumers' derived utility functions and on optimal consumption and investment decisions is examined in a general multiperiod framework. The extent to which multiperiod consumption-investment behavior and capital market equilibrium may be studied in a single period framework is discussed. Optimal investment policy, in terms of a region of no transactions, is shown to be of a particularly simple form.

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Year of publication:	1979
Authors:	Constantinides, George M.
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 25.1979, 11, p. 1127-1137
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	finance: investment criteria \| decision analysis: sequential \| utility/preference: theory

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.25.11.1127 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009192006