Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets
研究一个常数绝对风险厌恶投资者在交易多种风险资产时面临固定和比例交易成本的最优跨期消费与投资策略，发现资产收益不相关时最优策略是将每只风险资产的投资金额维持在两个常数水平之间，并分析了交易成本对交易量和股票收益可预测性的影响。
ABSTRACT We consider the optimal intertemporal consumption and investment policy of a constant absolute risk aversion (CARA) investor who faces fixed and proportional transaction costs when trading multiple risky assets. We show that when asset returns are uncorrelated, the optimal investment policy is to keep the dollar amount invested in each risky asset between two constant levels and upon reaching either of these thresholds, to trade to the corresponding optimal targets. An extensive analysis suggests that transaction cost is an important factor in affecting trading volume and that it can significantly diminish the importance of stock return predictability as reported in the literature.