Dynamic Portfolio Strategies with Transaction Costs

概要

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The effect of proportional transactions costs on dynamic portfolio strategies is examined in discrete time. The model assumes a single risky asset and a single riskless asset. Adjustments in the dollar holdings of the assets are made through time to maximize the investor's expected utility of terminal wealth. There is no intermediate consumption. The optimal investment is described in terms of a region of no transactions, where the optimal policy is to refrain from trading if initial portfolio holdings lie within the region, and to transact to the nearest boundary of the region if portfolio holdings lie outside the region. For positively homogeneous utility functions, the boundary is independent of current wealth, but dependent on future investment opportunities. The boundary widens as costs increase and is of zero width when costs are zero.
関西学院大学の論文
2005-09-20