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research article
Lifetime investment and consumption with recursive preferences and small transaction costs
July 1, 2020
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.
Type
research article
Web of Science ID
WOS:000540060800012
Authors
Publication date
2020-07-01
Publisher
Published in
Volume
30
Issue
3
Start page
1135
End page
1167
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
June 28, 2020
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