We study the continuous time portfolio selection problem over a finite horizon for an investor who maximizes the expected utility of terminal wealth and faces transaction costs. The portfolio consists of a risk-free asset, and a risky asset whose price is modeled as a geometric Brownian motion....

Employing geopolitical risk historical indices (GPR) developed by Caldara and Iacoviello (2022), this study investigates the relationship between GPR and information asymmetry, finding that GPR enlarges bid-ask spreads with increasing uncertainty about firm value. Empirical results indicate that...