Intertemporal portfolio optimization with small transaction costs and stochastic variance

C. Atkinson and S. Mokkhavesa

Applied Mathematical Finance, 2003, vol. 10, issue 4, 267-302

Abstract: The solution to the intertemporal optimal portfolio selection and consumption rule with small transaction costs is derived via the use of perturbation analysis for the two assets portfolio, one risky and one riskfree. This methodology allows us to apply a broader specification for the function of utility. The additional feature of stochastic variance is also included.

Date: 2003
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DOI: 10.1080/1350486032000141011

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