This paper contributes to the dynamic portfolio choice and transaction cost literatures by considering a multiperiod …

This paper examines portfolio allocations and market clearing prices when the representative agent can allocate across … equity portfolios formed on the basis of characteristics like size and book-to- market and portfolio cash flows are …

The authors determine, whether adding foreign assets to a domestic benchmark portfolio improves the risk-return profile …

We analyze the portfolio selection and performance of mutual funds in a model in which funds report their portfolio … holdings to their investors. Portfolio disclosure gives a signal of the quality of managerial information to the fund investors … and thus reduces their fund risk. We show that both optimal fund portfolios and fund performance depend on portfolio …