Portfolio Choice with Transaction Costs: A User's Guide
26 Pages Posted: 1 Aug 2012 Last revised: 21 Aug 2012
Date Written: July 30, 2012
Recent progress in portfolio choice has made a wide class of problems involving transaction costs tractable. We review the basic approach to these problems, and outline some directions for future research.
Keywords: transaction costs, long-run, portfolio choice, Merton problem
JEL Classification: G11, G12
Suggested Citation: Suggested Citation