Kamin's theorem [Kamin, Jules H. 1975. Optimal portfolio revision with a proportional transaction cost. Management Sci. 21 (11, July).] on portfolio revision with proportional transaction costs is extended to allow for hyperbolic absolute risk averse investors and for the possibility of...

The predictability of the market return and dividend growth is addressed in an equilibrium model with two regimes. A state variable that drives the conditional means of the aggregate consumption and dividend growth rates follows different time-series processes in the two regimes. In linear...