Multiperiod Consumption and Investment Behavior with Convex Transactions Costs

George Constantinides

Management Science, 1979, vol. 25, issue 11, 1127-1137

Abstract: The effect of convex transactions costs on consumers' derived utility functions and on optimal consumption and investment decisions is examined in a general multiperiod framework. The extent to which multiperiod consumption-investment behavior and capital market equilibrium may be studied in a single period framework is discussed. Optimal investment policy, in terms of a region of no transactions, is shown to be of a particularly simple form.

Keywords: finance: investment criteria; decision analysis: sequential; utility/preference: theory (search for similar items in EconPapers)
Date: 1979
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:25:y:1979:i:11:p:1127-1137

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