TRANSACTIONS COSTS AND PORTFOLIO CHOICE IN A DISCRETE-CONTINUOUS-TIME SETTING

被引：80

作者：

DUFFIE, D

SUN, TS

机构：

[1] Stanford University, Stanford

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 1990年 / 14卷 / 01期

关键词：

D O I：

10.1016/0165-1889(90)90004-Z

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper makes the following observation concerning a new formulation of the consumption and portfolio choice model of Merton (1971), with transaction costs. Suppose an investor observes his or her current wealth only when making a transaction, that transactions are costly, and that decisions to transact can be made at any time based on all current information. If, at each transaction, the agent is charged a fixed fraction of current portfolio value, an optimal policy exists and the optimal interval of time between transactions is fixed, independent of time and current wealth. © 1990.

引用

页码：35 / 51

页数：17

共 8 条

[1]

Chung K.L., 1983, INTRO STOCHASTIC INT

[2] CAPITAL-MARKET EQUILIBRIUM WITH TRANSACTION COSTS [J].