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- handle: 10670/1.ex8isx
- halshs: halshs-01395604
- doi: 10.3934/jimo.2016.12.1323
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info:eu-repo/semantics/altIdentifier/doi/10.3934/jimo.2016.12.1323
Mots-clés
Merton problem discrete market infinite horizon market frictions after liquidation value dynamic programming value function.Sujets proches
Celestial horizon Apparent horizon Real horizon Sensible horizon Standard of value InfinityCiter ce document
Senda Ounaies et al., « Merton problem in an infinite horizon and a discrete time with frictions », HAL-SHS : économie et finance, ID : 10.3934/jimo.2016.12.1323
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Résumé
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.