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Optimal portfolio allocation of a lumpy asset in the presence of transaction costs

Posted on:1995-11-08Degree:Ph.DType:Dissertation
University:University of ConnecticutCandidate:Goldberg, Gerson MFull Text:PDF
GTID:1479390014489500Subject:Economics
Abstract/Summary:
A flexible model of optimal consumption-portfolio choices over a variable finite time frame is developed which simultaneously allows both divisible and indivisible risky assets. Besides the optimal investment portfolio, the model determines optimal consumption of both housing services and consumption of other goods. Transaction costs are shown to have a substantial role in allocation of investable wealth.
Keywords/Search Tags:Optimal
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