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Optimal Investment of Merton Model for Multi-Investors with Frictions
Version 1
: Received: 29 May 2023 / Approved: 1 June 2023 / Online: 1 June 2023 (07:15:11 CEST)
A peer-reviewed article of this Preprint also exists.
Chebbi, S.; Ounaies, S. Optimal Investment of Merton Model for Multiple Investors with Frictions. Mathematics 2023, 11, 2873. Chebbi, S.; Ounaies, S. Optimal Investment of Merton Model for Multiple Investors with Frictions. Mathematics 2023, 11, 2873.
Abstract
In this paper, we extend the Merton model of investment in discrete time to the cases when there is a finite number of investors and the market is with frictions represented by convex penalty functions defined for each investor. In the main result of this paper, we proved the existence of optimal strategy of investment by using a new approach based on the formulation of an equivalent general equilibrium economy model.
Keywords
Merton model; multi-investors; penalty functions; general equilibrium
Subject
Computer Science and Mathematics, Applied Mathematics
Copyright: This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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