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Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets

We consider the optimal intertemporal consumption and investment policy of a constant absolute risk aversion (CARA) investor who faces fixed and proportional transaction costs when trading multiple risky assets. We show that when asset returns are uncorrelated, the optimal investment policy is to... Full description

1st Person: Liu, Hong
Source: in The journal of finance : the journal of the American Finance Association Vol. 59, No. 1 (2004), p. 289-338
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Type of Publication: Article
Language: English
Published: 2004
Keywords: research-article
Online: Volltext
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