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Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs

Stefano Corradin, José L. Fillat and Carles Vergara-Alert.

in The Review of Financial Studies

March 2014; p ublished online October 2013 .

Journal Article. Subjects: Economics; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Household Behaviour and Family Economics; Intertemporal Choice and Growth; Household Analysis. 26414 words.

We develop and solve a model of optimal portfolio choice with transaction costs and predictability in house prices. We model house prices using a process with a time-varying expected growth...