63 citations · 65 across the 14 of their papers we have counts for
Showing 2013Show all
2 papers · 1 filter
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-…