Premium
Lifetime investment and consumption with recursive preferences and small transaction costs
Author(s) -
Melnyk Yaroslav,
MuhleKarbe Johannes,
Seifried Frank Thomas
Publication year - 2020
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/mafi.12245
Subject(s) - transaction cost , consumption (sociology) , archetype , extant taxon , economics , portfolio , investment (military) , microeconomics , econometrics , database transaction , computer science , financial economics , social science , sociology , politics , political science , law , art , programming language , literature , evolutionary biology , biology
Abstract We investigate the effects of small proportional transaction costs on lifetime consumption and portfolio choice. The extant literature has focused on agents with additive utilities. Here, we extend this analysis to the archetype of nonadditive preferences: the isoelastic recursive utilities proposed by Epstein and Zin.