| Article ID: | iaor20073445 |
| Country: | United Kingdom |
| Volume: | 13 |
| Issue: | 2 |
| Start Page Number: | 131 |
| End Page Number: | 151 |
| Publication Date: | Apr 2002 |
| Journal: | IMA Journal of Management Mathematics (Print) |
| Authors: | Atkinson C., Mokkhavesa S. |
| Keywords: | portfolio management |
The solution to the optimal portfolio selection and consumption rule with small transaction costs is derived via the use of perturbation analysis for the case when one risky and one riskless asset are available for investment. This methodology allows us to apply a broader specification for the utility function.