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  • Search: subject:"utility maximisation from terminal wealth"
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Year of publication
Subject
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Bellman equation 1 Cox-Ross-Rubinstein model 1 Liquidity risk 1 equivalent martingale measure 1 utility maximisation from terminal wealth 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
Author
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Cetin, Umut 1 Rogers, L.C.G. 1
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London School of Economics (LSE) 1
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LSE Research Online Documents on Economics 1
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RePEc 1
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Modeling liquidity effects in discrete time
Cetin, Umut; Rogers, L.C.G. - London School of Economics (LSE) - 2007
We study optimal portfolio choices for an agent with the aim of maximising utility from terminal wealth within a market with liquidity costs. Under some mild conditions, we show the existence of optimal portfolios and that the marginal utility of the optimal terminal wealth serves as a change of...
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