63 citations · 65 across the 14 of their papers we have counts for
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q-fin.PM2013
Taylor approximation of incomplete Radner equilibrium models
Jin Hyuk Choi, Kasper Larsen
In the setting of exponential investors and uncertainty governed by Brownian motions we first prove the existence of an incomplete equilibrium for a general class of models. We the…
q-fin.PM2013
Asymptotic analysis for Merton's problem with transaction costs in power utility case
Jin Hyuk Choi
We revisit the optimal investment and consumption problem with proportional transaction costs. We prove that both the value function and the slopes of the lines demarcating the no-…
q-fin.PM2012
Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
Jin Hyuk Choi, Mihai Sirbu, Gordan Zitkovic
We revisit the optimal investment and consumption model of Davis and Norman (1990) and Shreve and Soner (1994), following a shadow-price approach similar to that of Kallsen and Muh…