MERTON PROBLEM IN AN INFINITE HORIZON AND A DISCRETE TIME WITH FRICTIONS

被引：1

作者：

Ounaies, Senda ^{[1
,2
]}

Bonnisseau, Jean-Marc ^{[1
,3
]}

Chebbi, Souhail ^{[4
]}

Soner, Halil Mete ^{[5
,6
]}

机构：

[1] Univ Paris 01, Paris Sch Econ, Pantheon Sorbonne, France

[2] Univ El Manar, Coll Sci, Dept Math, Tunis, Tunisia

[3] CNRS, CES MSE, 106 Blvd Hop, F-75647 Paris 13, France

[4] King Saud Univ, Coll Sci, Dept Math, Box 2455, Riyadh 11451, Saudi Arabia

[5] Swiss Fed Inst Technol, Dept Math, Zurich, Switzerland

[6] Swiss Finance Inst, Zurich, Switzerland

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2016年 / 12卷 / 04期

关键词：

Merton problem; discrete market; infinite horizon; market frictions; after liquidation value; dynamic programming; value function; TRANSACTION; CONSUMPTION; ARBITRAGE; MARKETS;

D O I：

10.3934/jimo.2016.12.1323

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

We investigate the problem of optimal investment and consumption of Merton in the case of discrete markets in an infinite horizon. We suppose that there is frictions in the markets due to loss in trading. These frictions are modeled through nonlinear penalty functions and the classical transaction cost and liquidity models are included in this formulation. In this context, the solvency region is defined taking into account this penalty function and every investigator have to maximize his utility, that is derived from consumption, in this region. We give the dynamic programming of the model and we prove the existence and uniqueness of the value function.

引用

页码：1323 / 1331

页数：9

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