Dynamic portfolio choice with frictions
研究在存在暂时性和持续性交易成本、多信号预测收益、多资产、一般相关结构、时变波动率等摩擦下，如何显式推导最优投资组合，并展示连续时间模型是离散时间模型的极限。
We show that the optimal portfolio can be derived explicitly in a large class of models with transitory and persistent transaction costs, multiple signals predicting returns, multiple assets, general correlation structure, time-varying volatility, and general dynamics. Our continuous-time model is shown to be the limit of discrete-time models with endogenous transaction costs due to op-timal dealer behavior. Depending on the dealers ’ inventory dynamics, we show that transitory transaction costs survive, respectively vanish, in the limit, cor-responding to an optimal portfolio with bounded, respectively quadratic, vari-ation. Finally, we provide equilibrium implications and illustrate the model’s broader applicability to economics. ∗We are grateful for helpful comments from Kerry Back, Darrell Duffie, Pierre Collin-Dufresne,