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Transaction costs play a critical role in asset allocation and consumptionstrategies in portfolio management. We apply the methods of dynamic programmingand singular perturbation expansion to derive the closed-form leading solutionsto this problem for small transaction costs with arbitrary transaction coststructure by maximizing the expected CRRA (constant relative risk aversion)utility function for this problem. We also discuss in detail the case whichconsists of both fixed and proportional transaction costs.

Optimal Investment and Consumption Strategies with General and Linear Transaction Costs under CRRA Utility