Optimal investment and consumption with return predictability and execution costs
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DOI: 10.1016/j.econmod.2019.09.051
Abstract: Abstract We provide a closed-form solution to an optimal investment and consumption problem for a constant absolute risk aversion (CARA) agent, who faces execution costs when trading correlated risky assets with return predictability. The optimal… read more here.
Keywords: execution costs; consumption; optimal investment; return predictability ... See more keywords