منابع مشابه
Optimal investment and consumption with transaction costs
An agent can invest in a high—yield bond and a low—yield bond, holding either long or short positions in either asset. Any movement of money between these two assets incurs a transaction cost proportional to the size of the transaction. The low—yield bond is liquid in the sense that wealth invested in this bond can be consumed directly without a transaction cost; wealth invested in the high—yie...
متن کاملConsumption, Durable Goods, and Transaction Costs
We study consumption of durable and nondurable goods when the durable good is subject to transaction costs. In the model, agents derive utility from a service flow of a durable good and a consumption flow of a nondurable good. The key feature of the model is the existence of a fixed transaction cost in the durable good market. The fixed cost induces an inaction region in the purchase of the dur...
متن کاملDurable Consumption and Asset Management with Transaction and Observation Costs
The empirical evidence on rational inattention lags far behind the theoretical developments: micro evidence on the most immediate consequence of observation costs − the infrequent observation of state variables − is not available in standard datasets. We contribute to filling the gap with two novel household surveys that record the frequency with which investors observe the value of their finan...
متن کاملFinite Horizon Optimal Investment and Consumption with Transaction Costs
This paper concerns continuous-time optimal investment and consumption decision of a CRRA investor who faces proportional transaction costs and finite time horizon. In the no consumption case, it has been studied by Liu and Loewenstein (2002) and Dai and Yi (2006). Mathematically, it is a singular stochastic control problem whose value function satisfies a parabolic variational inequality with ...
متن کاملAsymptotic analysis for optimal investment and consumption with transaction costs
We consider an agent who invests in a stock and a money market and consumes in order to maximize the utility of consumption over an infinite planning horizon in the presence of a proportional transaction cost λ >. The utility function is of the form U(c) = c1−p/(1− p) for p > 0, p 6= 1. We provide a heuristic and a rigorous derivation of the asymptotic expansion of the value function in powers ...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2009
ISSN: 0165-1889
DOI: 10.1016/j.jedc.2008.12.003