We examine the intertemporal optimal portfolio selection and consumption rule of an investor with a constant relative risk aversion who faces proportional transaction costs when trading between a risk-free asset and N risky assets. The investor's objective is to maximize the total utility of...

Statistical time-series approaches to hedging are difficult to beat, especially out-of-sample, and are capable of out-performing many theory-based derivative pricing model approaches to hedging commodity price risks using futures contracts. However, the vast majority of time-series approaches to...