Duffie, Darrell; Gârleanu, Nicolae; Pedersen, Lasse Heje - 2004
-market debt, bank loans,
swaps and many other derivatives, private equity, and real estate, are
traded in over-the-counter (OTC … invest in a bank account—which can also be interpreted
as a ‘‘liquid’’ security—with a risk-free interest rate of r …(t) in his bank account.
Specifically, lifetime utility is W(t)+ V
σ(t)
, where, for each investor type σ
in T , V
σ
is a …