Lifetime investment and consumption with recursive preferences and small transaction costs | Zendy

Melnyk Yaroslav | Zendy; MuhleKarbe Johannes | Zendy; Seifried Frank Thomas | Zendy

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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

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.

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