Lifetime investment and consumption with recursive preferences and small transaction costs
研究了小额比例交易成本对终身消费和投资组合选择的影响，并将分析从加性效用扩展到Epstein-Zin提出的等弹性递归偏好。
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.