Investment-consumption Optimization with Transaction Cost and Learning about Return Predictability

Mathematics

• Risky Asset 100%
• Continuous Time 33%
• Monte Carlo 33%
• Numerical Example 33%
• Asymptotic Analysis 33%
• Function Value 33%
• Decision Maker 33%
• Observable Factor 33%
• Liquidity Risk 33%

Economics, Econometrics and Finance

• Transaction Costs 100%
• Investors 33%
• Continuous Time 33%
• Monte Carlo Simulation 33%
• Dynamic Programming 33%
• Mean Reversion 33%