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Merton problem in an infinite horizon and a discrete time with frictions
1. | Paris School of Economics, University of Paris 1, Panthéon Sorbonne, France |
2. | Paris School of Economics, University of Paris 1, Panthéon Sorbonne, CNRS, CES. M.S.E. 106 Boulevard de l'Hôpital, 75647 Paris cedex 13, France |
3. | King Saud University, College of Science, Department of Mathematics, Box 2455, Riyadh 11451, Saudi Arabia |
4. | Department of Mathematics, Swiss Federal Institute of Technology (ETH) Zurich and Swiss Finance Institute, Switzerland |
References:
[1] |
U. Çetin, R. Jarrow and P. Protter, Liquidity risk and arbitrage pricing theory, Finance and Stochastics 8 (2004), 311-341.
doi: 10.1007/s00780-004-0123-x. |
[2] |
U. Çetin and L. C. G. Rogers, Modeling liquidity effects in discrete time, Mathematical Finance 17 (2007), 15-29.
doi: 10.1111/j.1467-9965.2007.00292.x. |
[3] |
U. Çetin, H. M. Soner and N. Touzi, Option hedging for small investors under liquidity costs, Finance and Stochastics, 14 (2010), 317-341.
doi: 10.1007/s00780-009-0116-x. |
[4] |
S. Chebbi and H. M. Soner, Merton problem in a discrete market with frictions, Nonlinear Analysis: Real World Applications, 14 (2013), 179-187.
doi: 10.1016/j.nonrwa.2012.05.011. |
[5] |
G. M. Constantinides, Capital market equilibrium with transaction costs, Journal of Political Economy, 94 (1986), 842-862. |
[6] |
M. H. A. Davis and A. R. Norman, Portfolio selection with transaction costs, Mathematics of Operations Research, 15 (1990), 676-713.
doi: 10.1287/moor.15.4.676. |
[7] |
Y. Dolinsky and H. M. Soner, Duality and convergence for binomial markets with friction, Finance and Stochastics, 17 (2013), 447-475.
doi: 10.1007/s00780-012-0192-1. |
[8] |
B. Dumas and E. Luciano, An exact solution to a dynamic portfolio choice problem under transaction costs, Journal of Finance, 46 (1991), 577-595.
doi: 10.1111/j.1540-6261.1991.tb02675.x. |
[9] |
S. Goekey and H. M. Soner, Liquidity in a binomial market, Mathematical Finance,22 (2012), 250-276.
doi: 10.1111/j.1467-9965.2010.00462.x. |
[10] |
E. Jouini and E. Kallal, Martingales and arbitrage in securities markets with transaction costs, Journal of Economic Theory, 66 (1995), 178-197.
doi: 10.1006/jeth.1995.1037. |
[11] |
I. Karatzas and S. E. Shreve, Methods of Mathematical Finance, Springer-Verlag, 1998.
doi: 10.1007/b98840. |
[12] |
C. Le Van and R.-A. Dana, Dynamic Programming in Economics, Kluer Academic Publishers, 2003. |
[13] |
M. J. P. Magill and G. M. Constantinides, Portfolio selection with transaction costs, Journal of Economic Theory, 13 (1976), 254-263.
doi: 10.1016/0022-0531(76)90018-1. |
[14] |
R. C. Merton, Optimum consumption and portfolio rules in a continuous time case, Journal of Economic Theory, 3 (1971), 373-413.
doi: 10.1016/0022-0531(71)90038-X. |
[15] |
S. E. Shreve and H. M. Soner, Optimal investment and consumption with transaction costs, The Annals of Applied Probability, 4 (1994), 609-692.
doi: 10.1214/aoap/1177004966. |
show all references
References:
[1] |
U. Çetin, R. Jarrow and P. Protter, Liquidity risk and arbitrage pricing theory, Finance and Stochastics 8 (2004), 311-341.
doi: 10.1007/s00780-004-0123-x. |
[2] |
U. Çetin and L. C. G. Rogers, Modeling liquidity effects in discrete time, Mathematical Finance 17 (2007), 15-29.
doi: 10.1111/j.1467-9965.2007.00292.x. |
[3] |
U. Çetin, H. M. Soner and N. Touzi, Option hedging for small investors under liquidity costs, Finance and Stochastics, 14 (2010), 317-341.
doi: 10.1007/s00780-009-0116-x. |
[4] |
S. Chebbi and H. M. Soner, Merton problem in a discrete market with frictions, Nonlinear Analysis: Real World Applications, 14 (2013), 179-187.
doi: 10.1016/j.nonrwa.2012.05.011. |
[5] |
G. M. Constantinides, Capital market equilibrium with transaction costs, Journal of Political Economy, 94 (1986), 842-862. |
[6] |
M. H. A. Davis and A. R. Norman, Portfolio selection with transaction costs, Mathematics of Operations Research, 15 (1990), 676-713.
doi: 10.1287/moor.15.4.676. |
[7] |
Y. Dolinsky and H. M. Soner, Duality and convergence for binomial markets with friction, Finance and Stochastics, 17 (2013), 447-475.
doi: 10.1007/s00780-012-0192-1. |
[8] |
B. Dumas and E. Luciano, An exact solution to a dynamic portfolio choice problem under transaction costs, Journal of Finance, 46 (1991), 577-595.
doi: 10.1111/j.1540-6261.1991.tb02675.x. |
[9] |
S. Goekey and H. M. Soner, Liquidity in a binomial market, Mathematical Finance,22 (2012), 250-276.
doi: 10.1111/j.1467-9965.2010.00462.x. |
[10] |
E. Jouini and E. Kallal, Martingales and arbitrage in securities markets with transaction costs, Journal of Economic Theory, 66 (1995), 178-197.
doi: 10.1006/jeth.1995.1037. |
[11] |
I. Karatzas and S. E. Shreve, Methods of Mathematical Finance, Springer-Verlag, 1998.
doi: 10.1007/b98840. |
[12] |
C. Le Van and R.-A. Dana, Dynamic Programming in Economics, Kluer Academic Publishers, 2003. |
[13] |
M. J. P. Magill and G. M. Constantinides, Portfolio selection with transaction costs, Journal of Economic Theory, 13 (1976), 254-263.
doi: 10.1016/0022-0531(76)90018-1. |
[14] |
R. C. Merton, Optimum consumption and portfolio rules in a continuous time case, Journal of Economic Theory, 3 (1971), 373-413.
doi: 10.1016/0022-0531(71)90038-X. |
[15] |
S. E. Shreve and H. M. Soner, Optimal investment and consumption with transaction costs, The Annals of Applied Probability, 4 (1994), 609-692.
doi: 10.1214/aoap/1177004966. |
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