Article2002

Perturbation solution of optimal portfolio theory with transaction costs for any utility function

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

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.

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