Optimal Dynamic Asset Allocation with Transaction Costs: The Role of Hedging Demands
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https://www.nber.org/papers/w33058
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A number of papers have solved for the optimal dynamic portfolio strategy when expected returns are time-varying and trading is costly, but only for agents with myopic utility. Non-myopic agents benefit from hedging against future shocks to the investment opportunity set even when transaction costs
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美国国家经济研究局创建时间：
2024-10-01
