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Multiperiod Consumption and Investment Behavior with Convex Transactions Costs

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  • George M. Constantinides

    (University of Chicago)

Abstract

The effect of convex transactions costs on consumers' derived utility functions and on optimal consumption and investment decisions is examined in a general multiperiod framework. The extent to which multiperiod consumption-investment behavior and capital market equilibrium may be studied in a single period framework is discussed. Optimal investment policy, in terms of a region of no transactions, is shown to be of a particularly simple form.

Suggested Citation

  • George M. Constantinides, 1979. "Multiperiod Consumption and Investment Behavior with Convex Transactions Costs," Management Science, INFORMS, vol. 25(11), pages 1127-1137, November.
    • Handle: RePEc:inm:ormnsc:v:25:y:1979:i:11:p:1127-1137
    DOI: 10.1287/mnsc.25.11.1127
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