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| Author: | Gennotte, G. Jung, A. |
| Title: | Investment strategies under transaction costs: the finite horizon case |
| Journal: | Management Science
1994 : MAR, VOL. 40:3, p. 385-404 |
| Index terms: | TRANSACTION COSTS POWER LIQUIDATION |
| Language: | eng |
| Abstract: | The authors examine the effect of proportional transaction costs on dynamic portfolio strategies for an agent who maximizes his expected utility of terminal wealth. The authors developed an efficient and tractable algorithm to obtain the boundaries, which are expressed as the ratio of the dollar holdings in stocks and bonds. The authors considered two cases: the same transaction costs for the two assets, and costs incurred on only the risky asset. |
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