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Intertemporal portfolio optimization with small transaction costs and stochastic variance. (English) Zbl 1101.91324

Summary: The solution to the optimal portfolio selection and consumption rule with small transaction costs is derived via the use of perturbation analysis for the case when one risky and one riskless asset are available for investment. This methodology allows us to apply a broader specification for the utility function.

MSC:

91G10 Portfolio theory
Full Text: DOI