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On An Investment Consumption Model With Transaction Costs
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Book Synopsis On an Investment-consumption Model with Transaction Costs by : Institut National de Recherche en Informatique et en Automatique
Download or read book On an Investment-consumption Model with Transaction Costs written by Institut National de Recherche en Informatique et en Automatique and published by . This book was released on 1993 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Investment-consumption Model with Transaction Costs and Markov-chain Parameters by : Thaleia Zariphopoulou
Download or read book Investment-consumption Model with Transaction Costs and Markov-chain Parameters written by Thaleia Zariphopoulou and published by . This book was released on 1989 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Investment and Consumption with Transaction Costs by : Steven E. Shreve
Download or read book Optimal Investment and Consumption with Transaction Costs written by Steven E. Shreve and published by . This book was released on 1990 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: "An agent can invest in a high-yield bond and a low-yield bond, holding either long or short positions in either asset. Any movement of money between these two assets incurs a transaction cost proportional to the size of the transaction. The low-yield bond is liquid in the sense that wealth invested in this bond can be consumed directly without a transaction cost; wealth invested in the high-yield bond can be consumed only by first moving it into the low-yield bond. The problem of optimal consumption and investment on an infinite planning horizon is solved for a class of utility functions larger than the class of power functions."
Book Synopsis A Shadow-price Approach of the Problem of Optimal Investment/consumption with Proportional Transaction Costs and Utilities of Power Type by : Jin Hyuk Choi
Download or read book A Shadow-price Approach of the Problem of Optimal Investment/consumption with Proportional Transaction Costs and Utilities of Power Type written by Jin Hyuk Choi and published by . This book was released on 2012 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt: We revisit the optimal investment and consumption model of Davis and Norman (1990) and Shreve and Soner (1994), following a shadow-price approach similar to that of Kallsen and Muhle-Karbe (2010). Making use of the completeness of the model without transaction costs, we reformulate and reduce the Hamilton-Jacobi-Bellman equation for this singular stochastic control problem to a non-standard free-boundary problem for a first-order ODE with an integral constraint. Having shown that the free boundary problem has a smooth solution, we use it to construct the solution of the original optimal investment/consumption problem in a self-contained manner and without any recourse to the dynamic programming principle. By analyzing the properties of the free boundary problem, we provide an explicit characterization of model parameters for which the value function is finite. Furthermore, we prove that the value function, as well as the slopes of the lines demarcating the no-trading region, can be expanded as a series of integer powers of [lambda superscript 1/3]. The coefficients of arbitrary order in this expansion can be computed.
Book Synopsis Markets with Transaction Costs by : Yuri Kabanov
Download or read book Markets with Transaction Costs written by Yuri Kabanov and published by Springer Science & Business Media. This book was released on 2009-12-04 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is the first monograph on this highly important subject.
Book Synopsis Optimal Investment and Consumption with Transaction Costs by : Steven E. Shreve
Download or read book Optimal Investment and Consumption with Transaction Costs written by Steven E. Shreve and published by . This book was released on 1992 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: "A complete solution is provided to the infinite-horizon, discounted problem of optimal consumption and investment in a market with one stock, one money market (sometimes called a 'bond'), and proportional transaction costs. The utility function may be of the form c[superscript p]/p where p
Book Synopsis Optimal Consumption/investment Strategies in the Presence of Transaction Costs by : Ansgar Linder
Download or read book Optimal Consumption/investment Strategies in the Presence of Transaction Costs written by Ansgar Linder and published by . This book was released on 2007 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Intertemporal Consumption Choices, Transaction Costs and Limited Participation to Financial Markets by : Orazio P. Attanasio
Download or read book Intertemporal Consumption Choices, Transaction Costs and Limited Participation to Financial Markets written by Orazio P. Attanasio and published by . This book was released on 2007 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper builds a unifying framework that, within the theory of intertemporal consumption choices, brings together the limited participation -based explanation of the poor empirical performance of the C-CAPM and the transaction costs-based explanation of incomplete portfolios. Using the implications of the consumption model and observed household consumption and portfolio choices, we identify the preference parameters of interest and a lower bound for the costs rationalizing non-participation in financial markets, in the presence of unobserved heterogeneity in tastes for consumption and portfolio allocation. Using the US Consumer Expenditure Survey and assuming isoelastic preferences, we estimate the coefficient of relative risk aversion at 1.7 and a cost bound of 0.4 percent of non-durable consumption. Our estimate of the preference parameter is theoretically plausible and the bound sufficiently small to be likely to be exceeded by the actual total (observable and unobservable) costs of participating to financial markets.
Book Synopsis Consumption-Investment Optimization Problem in a Lévy Financial Model with Transaction Costs by : Youri Kabanov
Download or read book Consumption-Investment Optimization Problem in a Lévy Financial Model with Transaction Costs written by Youri Kabanov and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider a consumption-investment optimization problem for the Kabanov model when the proportional transaction costs rate is constant and the prices are modeled by a Lévy process. We naturally extend the preliminary work of [4] to portfolio processes that are only supposed to be làdlàg. This allows to suitably rebalance portfolio processes which jumps induced by the Lévy process and identify an optimal strategy in the two dimensional case.
Book Synopsis Optimal Investment-consumption Models with Constraints by : Thaleia Zariphopoulou
Download or read book Optimal Investment-consumption Models with Constraints written by Thaleia Zariphopoulou and published by . This book was released on 1989 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Invesment-consumption Model with Infinite Transaction Costs by : Yedi Zhu
Download or read book Invesment-consumption Model with Infinite Transaction Costs written by Yedi Zhu and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Investment and Consumption with Fixed and Proportional Transaction Costs by : Hong Liu
Download or read book Optimal Investment and Consumption with Fixed and Proportional Transaction Costs written by Hong Liu and published by . This book was released on 2009 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider the optimal investment and consumption policy for a constant absolute risk averse investor who faces fixed and/or proportional transaction costs when trading a stock and maximizes his expected utility from intertemporal consumption. We show that the Hamilton-Jacobi-Bellman PDE with free boundaries can be reduced to an ODE, which greatly simpli es the problem. Using the stochastic impulse and singular control techniques, we then derive the optimal investmment and consumption policy. In particular, when there are both fixed and proportional costs, it is shown that the optimal stock investment policy is to keep the dollar amount invested in the stock between two constant levels and upon reaching these two thresholds, the investor jumps to the corresponding optimal target level. We also provide detailed analysis of the optimal policy.
Book Synopsis Lifetime Investment and Consumption with Recursive Preferences and Small Transaction Costs by : Yaroslav Melnyk
Download or read book Lifetime Investment and Consumption with Recursive Preferences and Small Transaction Costs written by Yaroslav Melnyk and published by . This book was released on 2017 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article investigates the effects of small proportional transaction costs on lifetime consumption and portfolio decisions. The extant literature has focused on agents with additive utility; here, we argue that this is essentially without loss of generality at the leading order for small costs. To shed light on the effects of alternative risk preferences, we in turn perform a higher-order analysis for the archetype of non-additive preferences - the isoelastic recursive utilities proposed by Epstein and Zin.
Book Synopsis Asymptotic Analysis for Optimal Investment and Consumption with Transaction Costs with Two Futures Contracts by : Maxim Bichuch
Download or read book Asymptotic Analysis for Optimal Investment and Consumption with Transaction Costs with Two Futures Contracts written by Maxim Bichuch and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing for Dynamic Economies by : Sumru Altug
Download or read book Asset Pricing for Dynamic Economies written by Sumru Altug and published by Cambridge University Press. This book was released on 2008-09-11 with total page 702 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena. Key features: • Provides a consistent framework for understanding dynamic economic models • Introduces key concepts in finance in a discrete time setting • Develops simple recursive approach for analyzing a variety of problems in a dynamic, stochastic environment • Sequentially builds up the analysis of consumption, production, and investment models to study their implications for allocations and asset prices • Reviews business cycle analysis and the business cycle implications of monetary and international models • Covers latest research on asset pricing in overlapping generations models and on models with borrowing constraints and transaction costs • Includes end-of-chapter exercises allowing readers to monitor their understanding of each topic Online resources are available at www.cambridge.org/altug_labadie
Book Synopsis Liquidity Premium for Capital Asset Pricing with Transaction Costs by : Steven E. Shreve
Download or read book Liquidity Premium for Capital Asset Pricing with Transaction Costs written by Steven E. Shreve and published by . This book was released on 1993 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: "An agent solves an infinite-horizon consumption-investment problem when the investment possibilities are a constant-interest-rate, risk-free asset and a stock, modelled as a geometric Brownian motion. There are proportional transaction costs associated with moving wealth between these two assets. The direct utility for consumption is of the form 1/p c[superscript p] for some p [element of] (0,1). The sensitivity of the indirect utility function (or value function) to small transaction costs is found to be of the order of the transaction cost to the 2/3 power."
Book Synopsis Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume by : Mr.Charles Frederick Kramer
Download or read book Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume written by Mr.Charles Frederick Kramer and published by International Monetary Fund. This book was released on 1994-10-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationship of stock returns and trading volume is the focus of much recent interest. I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The level of trading affects the rational trader’s marginal cost of transacting; as a result, trading volume is a source of risk. This engenders an equilibrium relationship between returns and volume. The model also provides a simple way to scrutinize this relationship empirically. Empirical evidence supports the implications of the model.
