Multiperiod Consumption and Investment Behavior with Convex Transactions Costs

The effect of convex transactions costs on consumers' derived utility functions and on optimal consumption and investment decisions is examined in a general multiperiod framework. The extent to which multiperiod consumption-investment behavior and capital market equilibrium may be studied in a single period framework is discussed. Optimal investment policy, in terms of a region of no transactions, is shown to be of a particularly simple form.

• 저널Management Science · 25(11) · 1127–1137
• 토픽Economic theories and models · Economics and Econometrics
• DOI10.1287/mnsc.25.11.1127
• 저자George M. Constantinides