Ambiguity premium and transaction costs

DOI10.1016/j.econlet.2021.110007zbMath1471.91500OpenAlexW3184008723MaRDI QIDQ1984415

Tae Yoon Kim, Bong-Gyu Jang, Seyoung Park, Seungkyu Lee

Publication date: 16 September 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.110007

zbMATH Keywords

transaction costsambiguity aversionoptimal investmentambiguity premium

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• Optimal investment and consumption with transaction costs
• Portfolio Selection with Transaction Costs

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