Dynamic Portfolio Choice with Intertemporal Hedging and Transaction Costs
Published Online:9 Dec 2025https://doi.org/10.1287/mnsc.2024.05913
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- Received:April 30, 2024
- Accepted:July 01, 2025
- Published Online:December 09, 2025
Copyright © 2025, INFORMS
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Johannes Muhle-Karbe, James Sefton, Xiaofei Shi (2025) Dynamic Portfolio Choice with Intertemporal Hedging and Transaction Costs. Management Science 0(0).
https://doi.org/10.1287/mnsc.2024.05913
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The authors thank Sylvain Champonnois for work on an earlier version of this paper, Svetlana Bryzgalova for suggestions about the illustrative example, and Paolo Guasoni for fruitful discussions. The comments of the Associate Editor and two anonymous referees are also gratefully acknowledged.
