Intertemporal portfolio optimization with small transaction costs and stochastic variance |
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| Authors: | C Atkinson S Mokkhavesa |
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| Institution: | Mathematics Department , Imperial College of Science, Technology and Medicine , 180 Queen's Gate, London SW7 2BZ |
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| Abstract: | The solution to the intertemporal optimal portfolio selection and consumption rule with small transaction costs is derived via the use of perturbation analysis for the two assets portfolio, one risky and one riskfree. This methodology allows us to apply a broader specification for the function of utility. The additional feature of stochastic variance is also included. |
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