"Portfolio choice with return predictability and small trading friction" by Guiyuan Ma, Chi Chung Siu et al.
This paper studies a portfolio choice problem of a utility-maximizing investor with return predictability and small liquidity costs. By adopting a logarithmic-return assumption, our asymptotic expansion around small liquidity costs provides the closed-form expressions for the first-order approximation of the value function and the associated almost-optimal trading strategy. The almost-optimal trading strategy indicates that the investor should trade toward the optimal frictionless portfolio, ins...
Asymptotic Expansion Og Return Assumption Ortfolio Choice Problem Return Predictability Mall Liquidity Costs
Source: uow.edu.au