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Optimal Investment and Consumption with Return Predictability and Execution Costs · Study

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ArticleOptimal Investment and Consumption with Return Predictability and Execution Costs

Guiyuan Ma2018

OA

Articlegreen2018

Optimal Investment and Consumption with Return Predictability and Execution Costs

Guiyuan Ma · Chi Chung Siu · Song‐Ping Zhu

20 citations·0/0 files stored·Economic Modelling

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

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References

1993Common risk factors in the returns on stocks and bonds 2014A five-factor asset pricing model 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1989Business conditions and expected returns on stocks and bonds 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 1988Permanent and Temporary Components of Stock Prices 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

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Details

Year2018

Typearticle

Published2018-01-01

VenueEconomic Modelling

ISSN-L0264-9993

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.econmod.2019.09.051

openalex_workW2978248181

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