Perturbation solution of optimal portfolio theory with transaction costs for any utility function |
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| Authors: | Mokkhavesa, S. Atkinson, C. |
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| Affiliation: | 1 Mathematics Department, Imperial College of Science, Technology and Medicine, 180 Queen's Gate, London SW7 2BZ, UK |
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| Abstract: | ![]()
The solution to the optimal portfolio selection and consumptionrule with small transaction costs is derived via the use ofperturbation analysis for the case when one risky and one risklessasset are available for investment. This methodology allowsus to apply a broader specification for the utility function. |
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| Keywords: | portfolio selection transaction costs general utility function |
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