Articlegreen2020

Lifetime investment and consumption with recursive preferences and small transaction costs

Johannes Muhle‐Karbe · Frank Thomas Seifried

25 citations0/0 files storedMathematical Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

Abstract

Abstract We investigate the effects of small proportional transaction costs on lifetime consumption and portfolio choice. The extant literature has focused on agents with additive utilities. Here, we extend this analysis to the archetype of nonadditive preferences: the isoelastic recursive utilities proposed by Epstein and Zin.

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References

1971Optimum consumption and portfolio rules in a continuous-time model 1985The equity premium: A puzzle 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?1990Habit Formation: A Resolution of the Equity Premium Puzzle 1990Asset Prices under Habit Formation and Catching up with the Joneses 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory

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2017A Primer on Portfolio Choice with Small Transaction Costs

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