Investment strategies in the long run with proportional transaction costs and a HARA utility function

Abstract

We give the optimal strategy for an investor with HARA utility function unbounded from below interested in his/her wealth far in the future investing in a money market and a stock market with the dynamics of exponential Brownian motion in the presence of proportional transaction costs.

Keywords

• Investment
• strategies
• proportional
• transaction
• costs
• utility
• function