Publication

Lifetime investment and consumption with recursive preferences and small transaction costs

Yaroslav Melnyk
2020
Journal Articles

Abstract

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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Lifetime investment and consumption with recursive preferences and small transaction costs

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