Capital Asset Pricing with Proportional Transaction Costs

Frank Milne and Clifford W. Smith

Journal of Financial and Quantitative Analysis, 1980, vol. 15, issue 2, 253-266

Abstract: The implications for portfolio behavior and asset prices of transaction costs are central to the analysis of numerous issues in economics. For example, questions involving the demand for the financial contracts issued by financial intermediaries are intimately tied to the existence of transaction costs. Thus the analysis of questions involving the nature of the demand for mutual fund shares, insurance contracts, mortgage loans, etc., and the form those contracts take require the explicit inclusion of transaction costs.

Date: 1980
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