Optimal Investment of Merton Model for Multiple Investors with Frictions
We investigate the classical optimal investment problem of the Merton model in a discrete time with market friction due to loss of wealth in trading. We consider the case of a finite number of investors, with the friction for each investor represented by a convex penalty function. This model cover t...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-06-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/13/2873 |