Optimal investment and consumption with return predictability and execution costs
Year of publication: |
2020
|
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Authors: | Ma, Guiyuan ; Siu, Chi Chung ; Zhu, Song-Ping |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 88.2020, p. 408-419
|
Subject: | Continuous-time investment and consumption problem | Return predictability | Linear temporary price impact | Execution costs | Utility maximization | Portfolio-Management | Portfolio selection | Theorie | Theory | Transaktionskosten | Transaction costs | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Privater Konsum | Private consumption | Schätzung | Estimation |
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