haku: @author Balduzzi, P. / yhteensä: 4
viite: 2 / 4
| Tekijä: | Balduzzi, P. Lynch, A. W. |
| Otsikko: | Transaction costs and predictability: Some utility cost calculations |
| Lehti: | Journal of Financial Economics
1999 : APR, VOL. 52:1, p. 47-78 |
| Asiasana: | Utility functions Costs Consumer behaviour Models USA |
| Kieli: | eng |
| Tiivistelmä: | It is examined in the paper the loss in utility for a consumer who ignores any or all of the following: 1. the multi-period nature of the consumer's portfolio-choice problem, 2. the empirically documented predictability of asset returns, or 3. transaction costs. Both the costs of behaving myopically and ignoring predictability can be substantial, although allowing for intermediate consumption reduces these costs. Ignoring realistic transaction costs imposes significant utility costs that range from 0.8 % to 16.9 % of wealth. For the scenarios that are considered, the presence of transaction costs always increases the utility cost of behaving myopically, but decreases the utility cost of ignoring predictability. q |
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