Note--Optimal Portfolio Revision with Proportional Transaction Costs: Extension to Hara Utility Functions and Exogenous Deterministic Income

Kamin's theorem [Kamin, Jules H. 1975. Optimal portfolio revision with a proportional transaction cost. Management Sci. 21 (11, July).] on portfolio revision with proportional transaction costs is extended to allow for hyperbolic absolute risk averse investors and for the possibility of exogenous deterministic income, assuming that one of the two investment opportunities is riskless.

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Year of publication:	1976
Authors:	Constantinides, George M.
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 22.1976, 8, p. 921-923
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.22.8.921 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009214885